CONNECTIONS tab, and you should see a screen like on the left. Midway down on the left had side of the window, you'll see the three buttons you can choose. Click on the one that says, "Dial whenever a network connection is not present."
Hit APPLY at the bottom, and then OK. If you are offlline, close Internet Explorer by clicking on the 'X' in the top right-hand corner. Re-open Internet Explorer or Outlook express, and you should be prompted with your Dial-Up Connection box. Enter your user/pass information and hit connect.
At this point you may choose to "Automatically Dial". It's a checkbox on your Dial-Up box. If you don't want to be prompted for this every time, put a check in here.