http://www.speedguide.net/read_articles.php?id=119
Old versions of windows come setup to work with modems faster, when using TCP/IP. That should be your main culprit. It still seems like a pretty huge difference, but there's no way a Pentium wouldn't be able to 'keep up' with a 350KBs connection. It may be very slow and old by our standards now, but basic network IO isn't exactally a taxing thing to do.
There could be a problem with the ethernet card (conflict, bad driver, etc.) too.