Go back to where you hit the Apply button (Control Panel>Internet Options>Connection) and see what accounts are listed under "Dialup and virtual private network settings." Make sure the one you want IE to use is marked as the default connection (click on it to select it, click on the "set default" button).
Then make sure you have checked the box next to "Always dial my default connection." Click OK to close the window, close IE, open IE again and see if that does the trick.
Then make sure you have checked the box next to "Always dial my default connection." Click OK to close the window, close IE, open IE again and see if that does the trick.