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How to check your connection speed
Speed test sites on the Internet (e.g., BCTEL MultiMedia Gateway) do not provide a reliable measurement of your local link speed. The reason is that no speed test from an arbitrary remote server will tell you much about anything other than that particular route at that particular time under that particular server load, all things that can and do vary widely. (Worse, some speed test sites are so badly implemented that the results are pretty much meaningless.)
To accurately measure the speed of your local link, download a large file (at least one million bytes) from a local server under light load (e.g., Internet software from your ISP in the wee hours) and time how long it takes. When all the various overheads are taken into account, with optimum configuration of your computer (see "Increasing TCP Receive Window") your binary FTP download speed in bytes per second will be about 1/10 of the raw link speed in bits per second (e.g., about 150 KBytes/sec over 1500 Kbits/sec link; about 38 KBytes/sec over 384 Kbits/sec link).
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How to find out what's slowing you down
You've increased your TCP Receive Window, but what if you're still not getting the speed you expect? (1500 Kbits/sec ADSL service is capable of downloading at a bit more than 150 KBytes/sec.) It could just be a matter of a remote server with limited capacity. But it could also be a network under-capacity problem at your ISP (the result of overselling the available capacity to too many subscribers, an all too common problem). No matter what you may have heard or read, "the Internet" is not overloaded.
The usual symptoms of network under-capacity are high latency (the time it takes a packet to cross the network path from one end to the other) and packet loss (where transmitted data is literally lost because of insufficient network capacity). High latency has an adverse effect on interactive use; e.g., real-time gaming over the Internet. Packet loss has an adverse effect on just about everything.
The best way to pinpoint the source of a network problem is to use a standard TCP/IP network tool called 'traceroute', which measures both latency and packet loss at every network "hop" between you and your destination (remote server). Windows 95/98/Me/NT/2000/XP comes with a free version of traceroute called "tracert". It does a pretty good job, but the output can be hard to understand if you're not into networking. (See Microsoft's Q162326 "Using TRACERT to Troubleshoot TCP/IP Problems in Windows NT" [which also applies to Windows 95/98/Me])