Problem with IE and "always on connection"

I have been having problems with Internet Explorer with my "always on " internet connection. Whenever i tried to use it, it would display the common error message saying "Cannot find server". Then I notied that each time I open up Internet Explorer it connects to 192.168.1.2 as shown below.

Now my previous connection required the modem to be configured to this address. So the problem lay in some remnant of my previous configuration which had creeped into IE. I deleted my previous connection from "Network Connections". Yet the problem persisted. IE was still trying to connect to "192.168.1.2". Now I had to look up a setting which was not changed even after deleting my previous connection. After some search, I found that my LAN settings were set to use "192.168.1.2" as proxy. I unchecked that option and tried to connect again. The problem was solved now.

Yahoo messenger used IE internally. So it was also not working on my system. But now I can happily use Yahoo Messenger again.