Web page unavailable

I have connected my Desktop PC with a cable from my LAN port to a Netgear wireless router. I set up my wireless laptop to connect via the router. Things seem to work OK but when I first open Internet Explorer and click on a link or web page, a message states: "The Web page you requested is not available offline, to view this page click connect" which I have to do in order to move on. Local Area Connection Status shows that I am connected. all the router lights are on and not flashing. Can anyone explain what is happening?
Don't know much about networking so not sure if I have done it right

 

Did that, it was already de selected. Yesterday in Internet options>Connections I selected never dial a connection and so far this morning I haven't had the Connect message appear so fingers crossed.

I'm still not sure if I have set up my network correctly, but it seems to work. I haven't tried file sharing yet as I am new to this networking lark but I am hopeful. Thanks for advice

Ps Spoke too soon, PC just disconnected.