Droping ISP when changing user

When I am connected to the internet and I want to change user ie.(log of one user to start a new user)i loose my connection how do I stay loged on so I dont have to Re-Dial to Re-Connect. Iam using WIN2K service pack 4 and using a Dial Up ISP
Can Iconfigure Windows to stay online or do I need a 3rd party software if so what would de a good choice to use.
Thanks for your help Rick