Thanks for the reply Prinny, but I am not getting the Page cannot be displayed error. It doesn't have anything to do with a specific website, because I'm not even getting connected to the internet. The error I'm getting is a dialog box popup that says "You may need to change your network settings". I don't have IE set to automatically open upon connection, therefore it's probably not IE that's showing the dialog box. It's windows dialup networking.
Normally I might try something like pinging, but there's no use in this situation, because I'm 100% certain that the connection is never made. Unfortunately I don't have a firewall either.
Have you ever seen that type of error message?