Накидал на коленке
var list = project.List["Список_Ссылок"];
Parallel.For(0, list.Count(), new ParallelOptions { MaxDegreeOfParallelism = 5 }, item =>
{
using(WebClient webclient = new WebClient()){
webClient.DownloadFile(item, System.IO.Path.GetRandomFileName());
}
});