Microsoft keeps moving the location of the options around in each version of Windows. I'm not sure where it lies in your version. On my OS (windows 2000) you do it thusly:

Run Internet Explorer. Select Tools, Internet Options, Connections. You should see a box with the dial-up connection in it. Hopefully there's only the one. You can set its settings from there. The "Never Dial a Connection" is the first option.

To create the desktop icon for dialing, you have to locate the dial-up-networking screen. Again, microsoft keeps changing the way you reach this screen, so you'll have to find it yourself. On win2k, you reach it thusly:

Start, Settings, Control Panel, Network and Dial-up Connections. On that screen should be the icon for the dial-up account. Use the right mouse button to drag that to the desktop and select "Create Shortcut Here".