Choose to open the Activity Window.
A window like this appears:
The window shows the progress for the current download session. Click the Cancel All button to cancel the entire session; click the x button in the left-hand column to cancel an individual download.
Tip: An easy way to open this window is to click on the progress indicator in the bottom-left of the main NetNewsWire window.
See Refresh Settings for help on changing the number of concurrent downloads and setting how often NetNewsWire should download your subscriptions.