Auto Disconnect – IE5

Normally when I close IE5 the ‘Disconnect – Stay Connected’ dialog box pops up automaticaly. A few days ago I closed down and the dialog box failed to appear. I now hae to open the connection icon which appears in the r/h corner of the task bar. Can anyone give me a clue as to how to switch the auto diconnect back on? I have searched but can find no obvious unchecked box. I have a feeling it may be a registry entry which needs changing.
All help much appreciated.