I posted this exact question on a newsgroup a while back and got a ton of helpful replies. Don't sleep on Usenet — comp.* groups are full of people who actually know what they're talking about, way more than some web forums full of script kiddies.

First thing I'd do is reboot and try again. Sounds dumb but you'd be amazed how many 'tech problems' fix themselves with a restart. If that doesn't work, write down the EXACT error message and search for it — somebody on Experts-Exchange or a Geocities help page has hit the same thing.

This is actually a really common misconception. The technology works differently than most people think. I'd recommend reading HowStuffWorks.com for a good beginner explanation before diving into the technical details.

I dealt with this same issue last year. The key thing is to make sure you're using the latest version of your software and check forums like Slashdot or Ars Technica for specific fixes. Technology changes so fast that advice from even 6 months ago can be outdated.

It depends a lot on your connection speed. If you're still on dial-up, some of this just isn't going to work well no matter what. Broadband makes a night-and-day difference. Is DSL or cable available in your area yet?