Pesky error message

When I "wake up" my computer from screensaver mode (requires password) and try to open my browser IE6.0 I usually get this message. My OS is Win XP Pro and I'm on a home LAN with three computers hard wired thru a router to cable modem. The message is wrong. I AM connected to the internet. If I click on "Try Again" my home page opens and I have no connectivity issues.
It's just a minor nuisance. I think my screensaver settings have some kind of sleep mode after a set period of time.
The sequence is the same every time.
Can I fix this with my settings?
Thanks much.

 

Bueller?

 

You might try this:
Open 'Control Panel' (if in 'Category View' click 'Network and Internet Connection'>'Network Connections'
(if in 'Classic View' click 'Network Connections'

Do you also have a Dial-up Connection set up?
If so, close 'Network Connections' and click
'Internet Options'>'Connections' tab
Make sure 'Never dial a connection' is checked.
Hope it Helps!