I sometimes get another pop-up window telling me to connect when I open itunes, msn, bearshare lite etc. If I close it, it closes my connection, but if I ignore it, I stay connected.
If you installed ie7 yourself, did you shut down your anti-virus, firewall etc? A couple of guys I know who run a pc repair shop say they have been getting a lot of queroes recently about the internet being slow after upgrading to ie7, and most of the time it was due to it being installed while virus programmes and firewalls were running.