Some details might help. Can you give us a total desciption of your set up: 1. SP2?, 2. What firewalls you have, 3. ram, 4. HDD space available, 5. Connection type, 6. Modem & router brand name & model numbers, 7. Where are you trying to connect from (home, school, work, etc.)?
These details are vital if you want us to find out what your connection problem is.