I had that problem as well and had to set up a second
guest user and not use the default guest user.  It works
but it's probably not the best or only way !

Guest account, by design cannot connect to internet. Cannot initialize a RAS
connection. But it can use an already ON cable/dsl/lan or already connected
dial-up account using Fast user Switching.

Dial-up connections might terminate while switching users, to prevent that
download:
http://www.kellys-korner-xp.com/regs_edits/KeepRAS.Exe

Also, check these sites:
How to Keep RAS Connections Active After Logging Off
http://support.microsoft.com/?kbid=158909

Keep a Dial-Up Connection Open for All Users [Famous tip from Kelly]
http://www.microsoft.com/windowsxp/expertzone/tips/may02/theriot1.asp

--
Ramesh - Microsoft MVP
http://www.mvps.org/sramesh2k

Microsoft Most Valuable Professional Program
http://mvp.support.microsoft.com

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trying to use Guest user for kids...will not let me acess
internet from the guest user.