Your going to get alot of responces about how vista runs slow. I havnt found this to be necessarely true, but I attest to nothing specifically.
What 'lag' do you have currently? a high ping? packet loss? try to be specific. I can only assume that when you say you added a modem you are talking about a dialup modem, in which case, dont expect much. Give us some computer specs as well. it helps alot.