File this one under bad UI design. When downloading content in the Xbox 360 Marketplace, a small dialog box shows your download progress. While this dialog box is in place, you can access no other content on the Xbox 360 if you want your download to finish.
Surely the system can multitask, but perhaps the designers of the system wanted to make sure that the hard drive and Internet connection on the Xbox 360 wasn't busy with any other task when gamers were playing a game. In this way, the system would appear to be speedy and there would be no risk of the sluggishness that tends to plague any computer that is tasked with too many jobs.
And yet, we still think it dumb. The download feature should allow users to select content, add it to a download queue (see the playlist feature of the music player-this functionality should be extended to downloads), and then do other stuff on the system.