Sounds like you have auto disconnect from the internet on, if it is set up to
Disconnect when connection may no longer be needed, when you exit out of IE and
OE, it will pop up. If you're just downloading and you have Disconnect if idle
for 20 mins. In 20 mins a box pops up and will offer to disconnect you within
approximately 30 seconds.
If you don't want this feature, uncheck "Disconnect when Connection may no
longer be needed and Disconnect if idle for .... mins.
Check you settings here:
In IE, Tools>Internet Options>Connections.
Highlight the connection and click Settings.
In Dial-up Settings click Advanced and check (or uncheck) the box next to
"Disconnect when Connection may no longer be needed".
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