Do you have ADSL or a cable connection?
If you have ADSL then you do have to connect and whilst it doesn't dial in the normal fashion it does use the phone line to make what you and I understand as a call. Once connected it will 'always be on'.
With a cable modem the setup is more like being part of a massive network. As soon as your network connection is enabled (normally when you turn the PC on) it gets an IP address and you are connected.