This may be caused by spyware/malware that's gotten installed on
your system.  Use Ad-Aware and/or Spybot Search & Destroy to remove it.

Ad-Aware: http://www.lavasoftusa.com/
Spybot:  http://www.safer-networking.org/en/index.html
Good sites on how to install and use Spybot -
http://www.safer-networking.org/en/tutorial/index.html
http://tomcoyote.com/SPYBOT/index1.php

More information here:
http://www.spywareinfo.com/
http://inetexplorer.mvps.org/Darnit.htm
http://www.doxdesk.com/parasite/ - runs a little script when loading page to
check for common parasites

If no joy, in IE go to Tools...Internet Options...Advanced tab, Browsing
section, uncheck "Enable third-party browser extensions", click Apply, click
Okay, reboot.  If that solves your problem, then more troubleshooting is
needed to find out exactly which program, or Browser Helper Object (BHO) is
causing this problem.  You don't want to leave it at that, as some BHOs are
useful or necessary - like Adobe Acrobat for reading .pdf files or an
essential component of Norton AV. Get BHODemon -
http://www.definitivesolutions.com/bhodemon.htm - read all about BHOs.
Disable all items, and then gradually replace one or two at a time to narrow
down the culprit.

Or if you have IE 6 SP-2 you can do this within the browser:
How to manage Internet Explorer add-ons in Windows XP Service Pack 2
http://support.microsoft.com/default.aspx?scid=kb;en-us;883256

If all the above fails, then the problem could be something new that the
spyware cleaners above don't have in their databases yet.  In that case....
HijackThis direct download:
http://www.spywareinfo.com/~merijn/files/hijackthis.zip
Tutorial on how to use HijackThis:
http://www.spywareinfo.com/~merijn/htlogtutorial.html
Then post it's output log to the forum here for analysis and feedback by the
parasite experts:
http://www.spywareinfo.com/forums/
Or the other HijackThis Logs forums listed here:
http://www.spywareinfo.com/~merijn/forums.html

Or try this program to get some of the most nasty malware:
CWShredder direct download:
http://aumha.org/downloads/cwshredder.zip

An alternate resource for all of this and more:
http://www.aumha.org/secure.htm

Also, see these articles for possible help:
Modem Attempts to Dial When Windows Starts
http://support.microsoft.com/default.aspx?scid=kb;EN-US;q175312 (Win9x)

Modem Automatically Attempts to Establish a Dial-Up Connection When You
Start Your Computer or Start a Program
http://support.microsoft.com/default.aspx?scid=kb;en-us;316530 (WinXP)