It's already set to 'dial whenever a network connection is not present'.

I have a hub which the computer is always connected to, and the empeg plugs into when it's around; the hub doesn't go anywhere else (ok, sometimes a laptop goes in there).

Unfortunately, IE seems to check the dial-up connection first, to do this I reckon it needs to connect; if I click work offline, it says it can't find anything and stops! Maybe it's because it's a crappy 'software modem'; maybe I need to have a linux firewall and connect to that through the LAN. For now Tony's solution is the only option, and sticking a shortcut to my connection on the quick-launch bar!