Hmm... Unfortunately this depends on what version of windows you're running, but if it's XP, try this:
Go to control panel
Select 'system'
Select the 'Hardware' tab
Click on 'device manager'
In device manager, locate the section called 'network adapters', and find the wireless device. (what it's called depends on who made it. Mine says: '(intel(R) PRO/wireless 3945ABG Network connection)
Right click on it, and select 'properties'.
There should be an 'Advanced' tab, although that may depend on the device.
You should be able to manually change things like 'transmit power', 'Power Management', 'Ad-Hoc power management', and a lot of other things. - The precise details unfortunately depend on the device itself. But change power management settings from 'auto' or 'power saving' towards 'maximum performance', and it should help.
However, this will of course make your batteries run out more quickly.
If you're using Vista, you can do much the same thing, but a lot of the details on how to do it are slightly different. (and unfortunately, I don't know them...)