When you connect to a web site your computer sends information back and forth, this is obvious. Some of this information deals with resolving the site name to an IP address, the stuff that tcp/ip really deals with, not words.
This is DNS information and is used so that you will not need to ask for the site location each and every time you visit the site. Although WinXP and win2000 has a pretty efficient DNS cache, you can increase its overall performance by increasing its size.