Adam has recently posted a link to a nice dial-up tip in his blog that I commented a little bit. Thought I would mention the fix in my blog as well but all credits should go to Adam.
To get rid of the annoying Dial-up connection dialog appearing every time an application is calling to create an Internet connection through WinInet API (the exact component responsible is rasdial code) all you have to do is to set the follwoing key below:
Where the ConnectionName is the name you assigned to the dial-up connection created.
This and more info you can read about dial-up autoconnect in this MS KB article.
I worked a lot on the rasdial components in WindowsCE a while ago but on XP those are a bit different structured and, obviously, without the source code you are provided with less control on XP over the RAS than on WinCE.