MTU stands for "Maximum Transmission Connection". Some routers and/or network gateways are incompatible with Xbox LIVE, while others may be compatible but merely need to have a setting changed. If you compare your router to the list of routers at the following web address, you can confirm whether or not your hardware has been confirmed as compatible with Xbox LIVE by Microsoft:http://www.xbox.com/en-US/support/connecttolive/xbox360/homenetworking/equipment.htm
Whether or not your hardware is listed as compatible, it would still be a good idea to check your instruction manual for the hardware you are using and see how (if possible) to change the MTU settings. Microsoft suggests that the MTU setting should be 1364. Using untested hardware or hardware not listed as compatible may still work, however, future updates to LIVE may suddenly make your hardware incompatible, as updates to LIVE and the Xbox console are made to work with the specifications of tested and listed compatible routers and gateways.