I've done broadband support for the outsource company I work for, I ran into a number of DNS issues with Windows 2000 and XP. Try these steps
if your using PPOE, logout first.
open a cmd prompt and type
ipconfig /release
ipconfig /flushdns
arp -d *
close the cmd prompt
goto the "System" control panel
goto Computer Name / Properties / More
and populate the Primary DNS Suffix with something, ok your way out and reboot then login again.
This might fix the problem for you.
If you don't see the More button then either you don't have the client installed or it's jacked up and you need to uninstall it and reinstall.
9x and ME have their own issues which is fixed by a complicated series of steps involving a reg hack at one point. lol
Andrea