Remote Desktop Compuing – unable to use internet via host PC

I use Remote Desktop Connection to log into numerous Win XP host machines. On all of them I have no problems connecting & using them except for one. On this particular machine, I am unable to access the internet. I cannot browse web pages nor can i send & receive e-mail. The remote host has network drives that are connected via LAN and VPN (to yet another remote site) and I am able to access all of them. It is obviously something with this particular PC.
It simply doesn?t make sense. If i?m connected via RDC through the INTERNET, how do I not have INTERNET access from that PC?
Any suggestions?