I just played with DrTCP thingymabob, and set my MTU to 1430 on Windows. However, I connect to the Internet via a router, onboard my Router are settings in the WAN interface to change settings too, they currently are:
Usually changing your MTU does not make that much difference with your connection. The adsl router will have an mtu on its pppoe link, and you will need to keep this static or you will most likely loose connection.
My unix boxes are mtu 1500 on the lan, but I think its down to the routers external wan link which governs the tcp information sent.