A little more info is needed please.
From looking at your signature you are on aDSL, is this correct?
If so, then what do you use as a protocol to connect to the internet with? PPPoE?
If it's PPPoE, what connection software do you use? WinXP's own, RasPPPoE... ?
At any rate, goto your Network connections in Control Panel and right click on the Connection you use for Internet and Create a Shortcut. This should bring it to the desktop (if you have one there already, skip this step) then drag it to your start menu / programs and place it in the Startup menu.
When you try to connect to the internet does it popup the Username & Password window? To make it login automatically, right click your connection and goto the options tab and uncheck "Prompt for name and password...."
Hope this helps.