I found out that the main reason is the default network configuration of Windows.
The download performance improves massively after tweaking the network configuration with registry settings, see IBM Websphere article(German):
http://pic.dhe.ibm.com/infocenter/wasinfo/v6r1/index.jsp?topic=%2Fcom.ibm.websphere.express.doc%2Finfo%2Fexp%2Fae%2Ftprf_tunewindows.html
I've increased also the TCP default receive and send window sizes, see article:
http://forums.speedguide.net/archive/index.php/t-185104.html