I have been having a problem where I would get “This page cannot be displayed” errors the first time I tried to access a website. The odd thing was that hitting Refresh would solve the problem and I would get through to the site immediately. At first, I thought it was a DNS problem due to the Internet Connection Sharing setup, but turns out it is Vista messing around with the net connection with a process called “Receive Window Auto-Tuning” (this alters the size of the packets on your network based on network conditions).
To turn this off, fire up an elevated command prompt window and type in “netsh interface tcp set global autotuninglevel=disabled” without the quotes. This solved all the problems I was having with my net connection in Vista SP1. Strange.