Some of the initial PSO games have disconnection problems if using a broadband modem in Japan. Sega are offering a free updated version from December. To get it fixed you need to send them the game disc, receipt, serial number and access key and they will send you back the updated version of the game.

It is unknown if this problem exists in the American version but it is unlikely that it will be in the European version as they will have fixed it before launching it here.