You need to run and elevated command prompt. Click Start > All Programs > Accessories, right-click Command Prompt and Run as administrator, Allow it to have administrator privileges, otherwise it won't work.
Then type/copy & paste the following command: netsh interface ipv4 set subinterface "Local Area Connection" mtu=xxxx store=persistent
Where xxxx = the MTU that you want. Rebooting isn't required. "Local Area Connection" is a common name for the interface if you use a NIC for connectivity. A wireless NIC may be called "Wireless Network Connection". If unsure, the network status icon by the clock will tell you.
If you have a router, ensure that the MTU is set to the MTU chosen here (refer to your router's manual).