TweakXP.com - Fast User Switching + Internet Connection
"In Microsoft Windows XP, if you enable the Fast User Switching feature, multiple user accounts can log on to a computer simultaneously. There is an issue of the Internet Connection either dropping or prompting to reconnect when switching users.
This tweak fixes the issue. This enables a permanent internet connection with multiple users on your PC under Windows XP.
# Click Start --> Run and type regedit
# Navigate to this key :
# Then right-click the right-hand pane, select New/String Value.
# Name the value KeepRasConnections
# Double click the new key and set it to 1.