Two things must be done, separately....
1) You must configure the MTU to be 1460.
2) You must change Kernel extensions to manage TCP/IP packet sizes.
1) Start Terminal.app
2) sudo (login as rootuser)
3) type "ifconfig en0 mtu 1460" for your hardwired ethernet port and type "ifconfig en1 mtu 1460" for your airport connection if utilizing this one
4) now its time for the kernel extensions...
1) Start Terminal.app (if you closed it between steps"
2) sudo (login as rootuser if you closed the above session)
3) type the following
sysctl -w net.inet.tcp.rcvspace=224360
sysctl -w net.inet.tcp.delayed_ack=1
4) that's it quit the terminal.app and enjoy faster downloads.
Downside to this is, you have to type this each time you reboot the machine.
You should also check out the All Things Macintosh FAQ for more Macintosh details.