My answer is in parts, but I have a question. Is this behavior the same for all browsers that you use or just IE (assumed you use IE).
A router is a very good line of defense for the most part, but for those errant programs that like to "phone home" having a software firewall helps. Am sure you are probably aware that XP's native firewall only blocks incoming and does not monitor the outgoing connections from your computer. This means, the trojans and other malicious programs, data-miners are not detected are ignored, so my suggestion is to maintain a third-party software firewall as well.
You can try a few of them and see which one works the best for you, I don't how how DSL services fare in your region but around here, it's no match for a 4Mbps cable connection. However with that aside you can tweak your system to get the best out of it.
0. How much ram do you have ?
1. What is your pagefile setting ?
2. You aware of stipe’s unofficial firefox builds ?
3. Do you have CrapCleaner installed ?
4. When's the last time you ran chkdsk /r ?
5. How about defrag ?
Remember with your system and windows every little tweak help when it all come together. Keep us posted.
Do not type anything in this space.