Dial up connections do not use LAN proxy settings

The default behaviour changed with Internet Explorer 5 and later, in that each connection has unique proxy settings.

Resolution:
A hotfix is available from Microsoft, see the KB reference. After installing the hotfix, the following registry key can be added per user or per machine.

HKLM\Software\Microsoft\Windows\CurrentVersion\Internet Settings
OR
HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings
DialupUseLanSettings REG_DWORD [01]

http://support.microsoft.com/?kbid=818060