What version of Internet Explorer is on the laptop? If you are dealing with a version before 5.5, it can be a pain. If you are dealing with 5.5, if you have install media, try to reinstall IE 5 and then reboot, most of times this will place an internet connection wizard on your desktop after reboot.
Also as NervousSoup says, what kind of connection? Sometimes if Windows is not recognizing the modem or PCMCIA card correctly, it won't do anything because there is no viable connection available to configure.
You can download the old IE versions from here http://www.oldapps.com/internet_explorer.php?old_internet_explorer=13