It's possible that a trojan or rogue dialler has got onto your machine. Do you know what number the dial-up box is trying to call? If it isn't the correct number for your ISP, then it's a rogue dialler - not a serious problem if you're on broadband but it could be expensive if you're on dial-up.
Do you have a firewall installed? If you have, then this should tell you what program is trying to access the internet.
Scan your computer for adware (I use AdAware for this click here), if you're on broadband, then also do an online scan with Ewido click here. If you're on dial up, then Antidialler should prevent you picking up a rogue dialler click here