Here's the steps to take to for Internet Explorer 6:
With Internet Explorer open, click on the top option called "Tools" then click "Internet Options". Click on the binding tab at the top called "Connections". On this screen, make sure your (default) connection is highlighted (this can be acconplished by clicking it once with your left mouse button). Then click on the "Settings" button off to the right of the white window and your (default) connection. Click on the the "Properties" button on this screen (across from your user name).
From this window, click on the binding tab at the top called "Dialing". At the bottom of this window there is an option called "Disconnect when this connection may no longer be needed", make sure there is a check mark in the box. Click the "Ok" buttons all the way out of the "Internet Options". The next time you load Internet Explorer or Outlook Express it should prompt you with the disconnect or stay connected box.