Have you installed the Real Media G2 player?
Its smart start option combined with its option to automatically check for updates can cause this.

You could also disable the connect automatically option and do a ctrl-alt-delete to see what programs are running when the dial-up connection opens.

Another possibility would be opening a program that can check for E-mail at regular intervals.

Having channel subscriptions set to be updated when windows starts.

The windows critical update program does this on some systems.

Some software may try to connect to register itself.
Norton Antivirus does or at least used to install a program in the startup folder that would cause it to do a live update the next time the computer started.
Some freeware that includes advertising may try to connect to update the content of the ads.

Having your desktop setup as a web page with an image being loaded from a web site might cause a connection.

Microsoft has a knowledge base article on this as well at
http://support.microsoft.com/support/kb/articles/q195/3/41.asp