From Microsoft but heavily edited. See the address below.
http://support.microsoft.com/default...b;en-us;193555
No Disconnect Prompt When Quitting Internet Explorer
To resolve this issue, modify the data value of the EnableAutodisconnect value in the following registry key:
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\ Internet Settings
Change the data value to 01 00 00 00. After you make this change and quit Registry Editor, restart your computer.
When you change the Auto Disconnect option, the setting may not take affect immediately. You must close Internet Explorer, and then disconnect from your Internet Service Provider (ISP). When you reconnect to your ISP, the settings take affect.
Hope this helps