Check in 'Internet Options' in Control Panel, go to 'Connections' and I bet the option 'Always dial default connection' is ticked.
Change it to 'Never dial ...' if you have a connect icon on your desktop/quicklaunch or 'Dial if not present' if you like to connect through IE/OE 6.
If that's not it, let me know.
Octavian Ratstrangler, July 2004