Quote from WinstonTJ:
To place orders directly with an exchange (like NYSE) you either need sponsored access (someone to vouch for you) or you need to be an exchange member.
I don't know anything about other exchanges outside NYSE.
Quote from Daal:
With IB you can test by going to
Start->Run type 'cmd'
then type
ping gw1.ibllc.com
I'm having 300-400ms with a 3G connection