This problem can be a number of reasons,
Is there a tick in the Auto-connect box (Sorry not sure in XP where this it resides),
Then it could be a software programme wanting registration or a hidden popup wanting a registration.
Or is there a driver missing/incorrect in your hardware-device manager?.
It could be that XP wants a update from the Windows update site. Let it connect, where does the connection want to go to like website ?.