Hi.
Use the tracert command from a command prompt a few times. If the lagging hop is under control of your isp, complain to them. If it's in your own lan, fix it. If it's outside of your control or your isp's, not much you could do but live with it.
For example:
tracert gameserverhttpaddresshere
or
tracert ipaddressofserverhere
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A real world example:
tracert windows7forums.com