Serial at 115200 - one byte "blocked" somewhere

Setup:
I have Arduino Deumilanove with Atmega328. On PC side I have Windows XP and C# program using SerialPort, FTDI driver 2.4.16.0.
Serial speed 115200. Messages sent from PC are 5 bytes long. Arduino replies with 2 bytes long message.
Confirmed with 2 PCs, 2 different USB cables, 3 different Arduino boards.
Problem:
After a while (< 100 messages ) the last byte is not delivered to Arduino. Serial.available() keeps returning 0.
If I open Serial monitor in Arduino IDE or make connection with Hyperterminal to Arduino suddenly the missing byte gets delivered. It doesn’t happen if I just reopen port in C#.
With speed 57600 no problem at all ( I left the messages flowing for 6 hours ).
Content of the message doesn’t matter.
Any advice why it happens and how to solve it so I can run it at 115200 ?