Archived from groups: microsoft.public.windowsxp.newusers (More info?)
This used to happen to me all the time. If your situation is what I think it is, then it means that the internet has already connected before you started IE. Get the latest updates, and you could try changing the default connection to LAN, if that helps at all. If you are using an external program to connect to the internet, then make sure that program is correctly announcing the internet connection status.