This could be expected behavior, or a configuration you may or may not want to change. The attempt to dial may occur if you do not close Outlook Express and have it configured to automatically check for new messages, for example. Here are some KB articles that may help in finding the answer.
Internet Provider Sign-in Screen Appears with Winsock Program
Connection Manager Runs After Disconnecting from Internet
And one for a different circumstance that likely doesn't apply, but might be of interest.
Modem Attempts to Dial When Windows Starts
On all three of my computers, all different brands, the MSN dialer will
occasionally go into a run-away dialing frenzy after I attempt a normal
disconnect. No matter how many times I hit the "cancel" button, a new
dialer pops up and begins dialing.
A Ctl-Alt-Del and a selection to "End Task" on MSN will, after a few trys,
stop this loop.
Any ideas about what is causing it?