^Right, as Buba stated, when you are solely downloading (ie you set upload speed to 0 in your client) you will still upload information. Part of downloading involves uploading data to say that the info has been received. When you set uploads to 0, it just means that other peers won't use your connection upload to get the file.
If you watch your incoming/outgoing traffic while downloading something, you will notice that both the TX (Transmit, or upload) and RX (Recieve, or download) areas are showing action, because when data is recieved, your comp must send back some data to acknowledge it.
Hence, if you set your client's upload speed to max, then it will sapped by peers downloading from your machine, and the data packets that your comp needs to send for your downloading will have trouble getting out. It's like the difference between trying to merge on to a busy highway as opposed to merging on an empty one.