is not 'always on' in the sense that you mean, and it's a good thing too.
When your computer starts up the ADSL modem handshakes with the exchange, and then, when you're ready you can click on the connection icon to go online. The latest Alcatel driver includes the facility to automatically establish the connection as soon as Windows has finished loading.
I wouldn't have thought that a few seconds to make the connection was such a terrible thing - most people seem happy to accept that.
An 'always on' connection leaves your machine in a vulnerable state if it's running - it will have what amounts to a fixed IP address, which is a juicy target for any hacker who happens to be passing.