[jrockway]

You don't really need multithreading.

It's true; many languages allow you to handle concurrent downloads by letting the OS call a function when the socket with the data is readable. (This is part of an "event loop".)

Many language implementations call this threading, however, because it is. You don't need one heavyweight OS thread for every thread of control in your application; many applications that make heavy use of IO easily handle thousands of threads inside one OS thread. It's a very useful abstraction.