multiple sockets in a thread

Hi,
i plan to have a file A - 10 byte big, being downloaded say from byte 0 to
byte 5 by socket 1 and from byte 6 to 10 by socket 2. How do i make both
the sockets run together in a single thread? I have a class, which ceates a
socket to download the file from byte x to y. If i do a say
clsDownload.begin(...) followed by clsDownload.begin(...) then the second
executes only after the first is finished.

thanks.