There might be better solutions than this, but if you go into Internet Properties (that is in Control Panel or found on the Tool Menu in IE) and click on the 'Connections Tab' and choose 'Never dial a connection' this will stop the connection box coming up automatically. You'll have to open the connection box manually then. One way of doing that is to go back into Internet Properties and select 'Always dial my default connection'. Then open up IE and the connection box will pop up.
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