Yeah, me too. Not finding the answer anywhere else yet. The Leopard machine on the same router works fine with HSS, but my new Snow Leopard setup does not.
I think Hotspot Shield limits the amount of bandwidth for each computer based on the MAC address. Unfortunately, there is no good method to spoof the en0 address. If you have wireless on en1, you may be able to change your MAC. Just follow the guidance here:
How to spoof your MAC address in OS X**UPDATE**
Everything I said earlier may be false. I just installed Snow Leo on another machine (though it shares the same wired router as the other machine). Hotspot Shield does not work on this latest machine either.
This sucks because my wife needs it to connect to college websites in the U.S. and they can't be reached unless we go through some sort of proxy. HSS was the easiest way.