The documentation on this is very straight forward (http://msdn.microsoft.com/en-us/library/aa385328(VS.85).aspx).  At the time of publishing however the documentation has a slight error.  You cannot pass a handle in for the first argument.  It must be NULL or the call will return false and GetLastError() will show the error is: ERROR_INTERNET_INVALID_OPERATION.

 The default value for this option is 4 connections.

 Also see this post: http://blogs.msdn.com/jpsanders/archive/2009/06/29/understanding-connection-limits-and-new-proxy-connection-limits-in-wininet-and-internet-explorer.aspx

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