Trojan internet connection rerouter?

I was browsing the Internet a couple of days ago on my wireless connection through a DSL router, and out of nowhere a connection box popped up asking me to choose a location for my new connection (Home, Public, Work, etc.; the box that typically pops up when you make a new connection for the first time). It was strange because I was already connected and wasn't in range of any other networks. I don't remember the name of the network that popped up because I immediately clicked disconnect. Later I got to thinking it was strange and ran a Spybot S&D scan which turned up some minor spyware, but nothing major. I remembered the old trojan dialers back in the dial-up days and wondered if something similar might be around for DSL connections, either wired or wireless. Is it possible for malware to go through my ISP's connection and make a change? Obviously it wasn't a new network because I'm in the country and not within range of any other networks. I guess that sounds strange, but I couldn't come up with another explanation for why the connection box would pop up. Thanks for any suggestions/explanations.