Its all in the TCP/IP networking code, which the operating system uses for applications to communicate with the internet. Windows 2000 has a more advanced networking system, and is more effecient with internet traffic. It wont 'speed' up your cable modem, but it will speed up certain aspects of the internet.. If you have no other need to upgrade to Win2k, other then you want 'faster' internet access.. Dont worry about it.
Your best bet is to check out the link Broadkipa posted.
www.speedguide.net. It did speed up my connection significantly. I went from 20k/sec average downloads to as high as 120k/sec average in Win98. It makes some adjustments to networking settings and makes it possible for Windows to accept more data and have more connections open, meaning it will download more images at a time from a web page.
I belive WindowsMe also uses Win2K's advanced networking code. Im not sure on that.