You can put a subfolder on a different server and use a reverse proxy for that subfolder. This will decrease the load of the CPU and disk from the main server, but bandwidth will be just as high, because all requests for the proxied directory are still passing the main server. So this is only a solution if your problem is CPU and disk related, not if it is bandwidth related.
For Apache this type of proxying is called a reverse proxy. I don't know if it is possible on IIS.
Example in Apache:
If you have a site example.com and a busy forum at example.com/forum/ you may want to put the forum software on a separate server. I will call this second server forumexample.com
The reverse proxy must be set-up to redirect all requests for the subdirectory forum to the external server. You add the following lines to the VirtualDirectory entry of example.com:
ProxyPass /forum/ [forumexample.com...]
ProxyPassReverse /forum/ [forumexample.com...]
The last stage is that you make sure that forumexample.com is not accesible from the internet, but only directly from your example.com server. You could do this to connect the forumexample.com server directly with example.com server via a cross-over cable and a dedicated network card (recommended, highest performance), or use firewall settings or Apache Allow,Deny settings to allow only HTTP requests from example.com (easier, and also works if you do not have access to the server). You need to do this to prevent duplicate content problems in search engines (especially Google)
Before activating proxying, read the Apache manual carefully. Don't accidentely create an open proxy which can be abused by spammers, it might put the IP of your server example.com in a number of blacklists.