// Has anyone run into this problem?

Yes.

// I have a DSL link with an assigned IP subnet block from my ISP. I'm using a
// NetBSD machine as a router/firewall using IPF. I have the following machines
// as clients, Windows 2000, Windows NT 4.0, Windows ME, and Linux.

I had a similar setup at my place of employment with a Linux-based
router (using ipchains) and Windows clients.

// I noticed recently, that when I use IE 5.5 on my Windows 2000 machine to go
// into ftp.netbsd.org via www.netbsd.org, something happens and the ftp packets
// back to my Windows 2000 machine get blocked.

I noticed the same behavior with all of the Windows clients.  I was
able to work around that by logging into the router first, downloading
whatever locally there, and then using ftp from windows to the router
to get stuff from there.  Since then, we have replaced the router with
a higher-powered Windows 2000 Server system that also acts as a file
server.  Now ftp works fine from all machines.

--
Ian Cooper
ian@wpi.edu