The first question to start with is ...
Is your wireless connection secured with a passport? If not then anyone can use your router to have internet.

If this is the case, try setting up a password and you will see the difference.

If not, check the other users around you ... they might be using some Torrent download clients that are slowing down your connection speed.

The firewall on the router won't slow the connection, but it might block some online games, download clients from downloading materials efficiently.

Hopefully your IE setting are not using a proxy to connect, if there is just remove it.

Good Luck ...