Go to Control Panel/Internet Options/Connections and select "Never Dial a Connection".
There is a program that is running in the background that is trying to access the internet. This may even be a Trojan or Malware. Use an updated virus checker and Adaware/Spybot to protect yourself. It may be a legit program that you don't want accessing the net by itself. If such is the case then run MSCONFIG from the windows command line and check the Startup listing. You may be automatically running things you don't wish to. Pays to look.