I had this question from a couple of people and my answer to BJ was a bit specific to his case. Here are some more general tips to help you speed up your web browsing.

First of all, if you are using Windows XP, refer to the first RELATED LINK below. Although this is an "Installation Guide", the information can be used to get about a 15-25% performance increase on just about any machine.

Check your Memory. Prior to Windows XP, extra memory generally wasn't utilized by the operating system. Certain applications could make use of it, but increasing physical memory did not help overall performance. With Windows XP, more is definitely better. If you only have 128 Meg of RAM - this is all too common - you can see almost a 50% increase in speed by just adding another 128 Meg. The reason for this is that Windows XP is a massive operating system. When it loads into memory, it takes almost 128 Meg just to get up and running. Consequently, any programs that you try to run require swapping part of the OS out to virtual memory which is much slower to access.

Defrag - Defrag - Defrag. I hate to repeat myself, but I cannot over-stress the importance of defragmenting your hard drive. When you get a new computer, the files on the hard drive are lined up like tightly packed books on library shelves. Files that are used with each other are usually located adjacent to one another. The computer takes these books off the shelves to use them and then cannot get them back in the same hole that they were in before. Sometimes the book will be ripped into multiple parts and placed on different shelves and sometimes it will be moved to an entirely new section of the library. Now when the computer needs that file again, it is running all over the library trying to re-assemble it, and, believe me, Windows XP is a pretty massive library. This slows down your computer. Microsoft feels that if the drive isn't at least 15% fragmented, you don't need to bother with it. While this is true of the faster machines - the average user will not notice the degraded performance - tests have proven that as little as 5% fragmentation will cause your computer to slow down.

More specific to Web Browsing now - If you are a "meat and potatoes" internet user and do not care about all the fancy stuff, you can speed up the way pages load by controlling the way the multimedia and image content of the page are loaded. This will generally get you to the text on the page more quickly.
Open internet explorer and click on Tools/Internet options:
Click on the Advanced Tab
In the Browsing Section:
Check - Disable script debugging
Uncheck - Display a notification about every script error
Uncheck - Enable visual styles on buttons in web pages
Uncheck - Use smooth scrolling
In the Multimedia Section:
Check - Don't display online media in the media bar
Uncheck - Enable Automatic Image Resizing
Uncheck - Play animations in web pages
Uncheck - Play sounds in web pages
Uncheck - Play videos in web pages
Check - Show image download placeholders (this preserves page format)
Uncheck - Show Images
Uncheck - Smart Image Dithering
Click OK and restart your browser.
This will make your pages load a lot faster but you will be missing a lot of the content on the page and in some cases this is a good thing. To see an image on a web page, you can right click on it and then click on Show Image. If you are not happy with these settings, play with them.

Finally, you can consider a different browser. See the second RELATED LINK below for a pretty comprehensive comparison of the available browsers. I am not sure when this article was written, but it seems pretty up to date.

RELATED LINK: Windows XP Install Guide.

RELATED LINK: Browser Comparisons.