A client of mine was told by Lexis Nexis that the size of his MTU was wrong and I found an awesome kb article on TechNet descriping the registry settings for a whole bunch of neat low level TCP/IP settings (such as MTU size) and how to change them:

http://support.microsoft.com/default.aspx?scid=kb;en-us;314053&Product=winxp

As one would expect, changing the MTU size made no difference.  There would have been a lot more problems than just some functionality of lexis' site had the MTU size been wrong.