Were you using firewall software on your computer? If not then maybe you were letting in a bunch of traffic that the router's internal firewall has now put a stop to. Can't think of another reason why a router would speed things up really.
How would one deactivate ActiveX? And, do I need to change IE settings on each of the user accounts on XP? Nobody uses IE (Firefox represent!) but, I'd like to set these things as high as possible just in case.