Maybe this is obvious to most, but it had me swearing for a while. Using Windows XP SP2, make sure you run the TCP/IP Optimizer as an administrator. At first I did not and it appeared to be working, but the settings did not take permanantly. I might have figured it out sooner, but i'm used to getting a message when administrator privalages are required. I'm happy now because it seems to have doubled my bandwidth!
Thanks