Since you are using VPN to connect the Internet (VPN link usually have smaller MTU than LAN link) and small packets (ICMP echo/ICMP echo reply) are allowed to pass then I would suspect some problems with Path MTU Discovery.
Some information about Path MTU Discovery can be found here http://www.netheaven.com/pmtu.html
I would try to set smaller MTU on the client system to check this idea by altering (setting to 1492 or even less) the following registry key in the system registry (requires reboot after modification):
// This parameter specifies the Maximum Transmission Unit (MTU) for a network interface.
// By optimizing the MTU setting you can gain substantial network performance increases,
// especially when using dial-up modem connections.
// MTU stands for Maximum Transmission Unit and in basic terms, it defines the maximum
// size of a packet that can be transferred in one frame over a network.
// Recommended Values
// 576 – Dial-up Connections
// 1492 – PPPoE Broadband Connections
// 1500 – Ethernet, DSL and Cable Broadband Connections
// Note: IP datagrams may span multiple packets. Values larger than the default for the
// underlying network will result in the transport using the network default MTU. Values
// smaller than 68 will result in the tranport using an MTU of 68.
// System Key: [HKEY_LOCAL_MACHINESystemCurrentControlSetServicesTcpipParameters
// Interfaces[Adapter ID]]
// Name: MTU
// Type: REG_DWORD (DWORD Value)
// Value: Default = 0xffffffff ???
// Note Windows 2000 TCP/IP uses PMTU detection by default and queries the NIC driver to find
// out what local MTU is supported. Altering the MTU parameter is generally not necessary and
// may result in reduced performance. See the PMTU detection discussion in the TCP section
// of this document for more details.
[Adapter ID] has a form of GUID, an example path to my LAN NIC registry key is the following HKEY_LOCAL_MACHINESYSTEMCurrentControlSetServicesTcpipParametersInterfaces{1E79EC84-A8E9-4A2F-BB11-0FF68F46E5A9}