I am not particularly fond of the Windows NT 4.0 AutoDial, so I created my own. Use a batch file:
REM Switch to prefered download directory
REM Dial your ISP
C:\Winnt\system32\RasPhone -d EntryName
REM Run your browser
"C:\Program Files\Internet Explorer\IEXPLORE.EXE"
REM When you exit, hang up
c:\winnt\system32\rasdial EntryName /DISCONNECT
Create a shortcut to the batch file (I have mine set to minimized) and create a HotKey and/or place it on the Start Menu.