That's really easy, I did it with my sympatico connection. First you have to make it dial automatically. To do that, go in the Connection properties, and in the Options tab, uncheck everything but the last one (redial if line is dropped), then click OK (make sure the password is remembered and entered properly though).
Then, drag this icon with your right-mouse button to the Startup folder in Start > All Programs, and drop it. Click Create Shortcut when the context menu appears.
Log off, and log back with your username. Watch it dial on its own as soon as windows starts loading =P
Creating a file to automate the connection - (suggested by Kris Bird)
Create a file called connect.cmd
Edit the file in Notepad, and enter the following text (customised for your own connection, of course!)
rasdial btopenworld username@hg?.btinternet.com password
Drop the cmd file into the WINNT directory - though any other directory would do just as well
Scheduling the file to run at PC startup
Start/settings/control panel/add scheduled tasks
Double-click on "Add Scheduled Tasks"
Click on "Next"
Click on "Browse", and select the connect.cmd file in the WINNT dorectory
For "Perform this Task", select "When my computer starts"
Assuming that as you are setting this up, you have the right to run the program, leave the default user name in place, and enter and confirm your password
Click on "Next"
Click on "open the advanced properties for this task"
Click on "Finish"
Select the "Settings" tab
Reduce the "Stop the task if it runs for" setting from the default 72 hours 0 Mins. to 0 Hours 5 mins
Click on "Apply"
Click on "OK"