mmm.... strange - I was also about to suggest "never dial a connection" in your "connections" section of "internet options" in your browser.
So I assume you have set up a wireless network, that your broadband connection is always on and then you establish the VPN session over BBand.
As you know the browser is independent of the VPN session - except that you can probably access your company's intranet and internal systems when it is established. What should happen is that when you close your VPN session your browser is limited to
www.....
So tell me... if you start and close your browser several times before establishing VPN sessions - do you still get the dial up box ?
Make sure that there are no entries in the internet browser "dial-up and virtual private network settings" box.
regards