The TCP layer is not optimized by default to cope with high latency link and performances can decrease.
The latest Linux kernels use an autotuning algorithm and without manual intervention you'll get the best performances from your computer. Check the kernel version by typing : uname -a in a terminal, if the kernel version is higher than 2.6.7 you do not have to do anything. If you have a version lower than 2.6.7 it's recommended to update.
On windows vista you can activate the Compound TCP (CTCP) option by running :
netsh interface tcp set global congestionprovider=ctcp
You can find more information on CTCP at Microsoft Research. An article on Bandwidth-delay product at Wikipedia will give you details on the problem and a list of proposed algorithms to improve the situation.