You may have Software Header Compression enabled and it is not compatible with the PPP server or router you are using.
Disable Software Header Compression (AKA VJ Header compression):
1. Select your ISP entry in the Phonebook.
2. Click More, click Edit entry and modem properties, and click Server.
3. Press TCP/IP Settings.
4. Clear the Use IP Header compression check box.
5. Click OK, OK, and Close.
PING and TRACERT work because they don't use TCP/IP to test connectivity, they use ICMP packets.