Internet/Download speed and PD/Windows 7

Just a quick question. I'm currently running windows 7 on a macbook pro with i5 2.53 GHz and 4GB RAM, i don't know if that correlates with download speed, but for some reason, when I'm downloading something in Windows 7(which is running in parallel desktop), the download speed is running only a fraction of what my mac's is. I get 2.5 MBs/s , but when i download in parallel i only get 40 KBs/s. Is there any way I can increase the speed of the download. I download my stuff in the mac and drag it over to the Windows 7, but I need to know if this will affect my ping/lag in games. Please and Thank you!