Here's our Windows XP Tip for.. April 16, 2003
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Turning off the Close Connection Confirmation
Your computer may be configured so that Windows asks you if you want to close your Internet connection whenever you close your Web browser or your email program. After a while, you may not need this reminder.

Thankfully, you can disable it. Go to Start--Settings--Control Panel and select Internet Options. Under the Connections tab, click once on your Internet connection and then click Settings. Click the Advanced button and then uncheck the Disconnect When Connection May No Longer Be Needed box. When you're finished, click OK.