Dialup or boradband?
Answered here
I'm using windows XP sp2 with a broadband connection
the type of broadband is required.. Some USB modems are spoken to as in the comment regarding the internet settings see the comments from zencoder and hesperus.. some adsl modems auto connect (these are like the Router modems etc.. ) and as such you on a perm connection....

so perhaps a bit of info on the modem will help..