Annoying Connection Dialogue Box

I have W2000 and periodically when I'm performing tasks in Explorer (e.g., renaming files), my Internet connection dialogue box appears before letting me do anything. Rebooting usually helps, but it seems to me there must be an easier and more efficient way. The same box also appears on rebooting, automatically, if that helps.

 

Dial up or broadband? Are you already connected when the dialog box show up?

 

Dialup, Newt, and no, I'm never connected when this happens.

 

Best guess is that something on the PC is trying to call out.

If you don't already run them, first thing I'd try is downloading, updating, and then running both Ad-aware and Spybot.