Problem with IE internet conection

greetings… i am not sure if this is the correct place to ask this… but i have this weird problem…
i have a computer conected all day to the internet by DSL… but sometimes internet Explorer or Firefox, ask me to connect to the internet, eventhou i have MSN messenger conected…

what i dont understand is, if i am on a lan all the time conected to the internet, why does it ask me to connect again?