You can't - not like Version 4 did, anyway. This isn't a bad thing, however - it's actually good news!
Version 4 assigned one connection for every file it downloaded, thus the download bars would light up with all those files at once - which seemed good. Version 5, you will note in the Download tab, appears to be downloading only one file at a time. The reason this is better is because Version 5 has broken down each job into smaller, more "atomic" tasks. Instead of a single file being assigned to a connection, a mere chunk(one portion of a file) is assigned per connection. If you look carefully in the Downloads tab and watch the bar growing, you'll see it broken into discrete "chunks" - and that's exactly what they are - Usenet "chunks".
The upshot of this is that in Version 4, you either had to wait for a single file to finish before it would free up the connection or kill the download, whereas in Version 5 you can always push another task in front of a currently downloading file. Newsbin will perform the new task, then once it gets back to the file in progress, it picks up right where it left off! Note this can be done as often as you want - you can push tasks ahead in the queue and leave multiple partially finished files, confident that eventually they will be completed. This makes Version 5 not only much faster interactively, but there seems to be a slight increase in overall speed downloading chunks related to a single post, rather than conceivably trying to grab chunks from all over the various groups all at once.
Try starting a large download, with big multi-megabyte files, and then select a small file in a Post List, and Hit Ctl-Shift-Y. You'll see your new post jump into the Download tab ahead of the rest. Once it's done, the next file continues where it left off. If this had been v4, you would have had to kill at least one of these downloads to perform this, then later hunt it down to pick it back up again.
Files aren't the only tasks that behave like this - essentially every Server-related job you ask Newsbin to perform, from grabbing the latest list of groups, downloading headers, or Reading Post Bodies will jump into the queue and will be treated as all the other tasks. Note the various arrow buttons that allow you to shuffle tasks up or down the list, along with pausing them.
It might be worth mentioning that Version 5 *can* be downloading more than one file at a time. If you have a list of files that are each only composed of a chunk or two, Newsbin fills up those connections any way it can, so it might appear for a moment that it's behaving like version 4, but it's not. It's hands-off - just send Newsbin the tasks you want done, and it maximizes the speed based on your server settings.