OK, I had to install a Dial-Up connection in my computer to see this (I have high-speed access here at home).
Check this: in Tools > Internet Options... > Connections tab, select your dia-up service and click on "Settings...", then on the new window, click on "Advanced".
Do you have the option "Disconnect when connection may no longer be needed" selected? If not, try it out. Maybe it will work.
If it doesn't work, let us know, and we'll keep looking.
See ya,
malu
EDIT: Oops! I think I took too long to reply. Tzigone just answered the same thing before me.
