Well I don't know what particular program might be causing this but the following might well stop the messages coming up. When you are in Internet Explorer, click on Tools at the top, then select Internet Options from the list.
On the screen that loads, select the "Connections" tab at the top.
In the top half of the screen is a list of all your ISP's. Click one then in the options below, select "Never dial a connection". When you've done this for all your ISP's, select OK at the bottom and close your internet connection down... See if that makes any difference.