I am assuming you are asking this because you want to keep the speed of the transfers at a maximum. The choke point of the data transfers is not your network speeds but usually the read/write speed of you hard drive. this is why servers usually use 10k or 15k RPM drives in raid arrays, to catch up to network speeds.
you can have multiple connections at any given time. windows will decide which connection to use based on what it thinks is the fastest. AFAIK, you cant really pick.
in anycase, you should be able to send files out and download files at the same time without any problems. but if the read & write actions are taking place on the same HDD, it will slow both processes down if you run them together.