You don't have to go to the registry to do that. If you have Windows 2000 or XP all you have to do it go to Start, RUN, and type in MMC and hit enter. Click on File and Add/Remove Snap-in. Click on ADD, Scroll to Group Policy Editor, Click Add and then Finish. Click Ok to go back to the console screen.
Click on Local Computer Policy to expand the menu. Click on User Configuration, Administrative Template, Windows Component, Internet Explorer, Internet Control Panel. Select Disable the Connections Page and click on disable. Click ok and reboot the machine. When you logon as the user the Connections tab should not be there. Hope this helps.
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Regedit, hide IE setting