Are you running a firewall? Way back when, I was nailed by online dialers that were downloading themselves onto my computer, disconnecting me, and trying to reconnect with God-knows-where.
Get a firewall (ZoneAlarm is free...check Download.com). Run AdAware and Spybot (both free...Download.com).
Set your firewall to start with Windows, so you don't forget it. Start-->Run-->MSCONFIG, startup tab...uncheck everything you do not absolutely need, make sure your firewall is checked.