I think all of us ADSL users have to Connect even if ISPs say that it's always connected. It only takes a few seconds though. What are the specs of your PC? I heard that USB devices can use up a bit of your PC's resources and can slow it down a bit when you start up Windows XP. It sometimes takes me up to 15 seconds before everything is loaded on my PC.
I had a similar problem that seemed to be caused with low system resources at start up. Some times I could not even get a connection. I turned off all the start up items that were not really required at start up. This solved my problem, and have no problems now. You do still need to connect unless you leave your PC running 24/7
Start/run/msconfig----startup tab if you are not sure where to do this.