When you use Start / Network Connections to right-click Local Area Connection and press Properties, and then clear the Notify me when this connection has limited or no connectivity box, pressing OK to save this setting on your Windows XP SP2 computer, you would expect that loss of network connectivity would prevent the notification, but it does NOT.
To workaround this behavior:
1. Open Control Panel.
2. Open Taskbar and Start Menu.
3. Select the Taskbar tab.
4. Press the Customize button. If it is not available, check the Hide inactive icons box.
5. Select Local Area Connection A network cable is unplugged.
6. Select the Always hide item in the drop-down list and press OK and OK.
NOTE: If you checked the Hide inactive icons box in step 4, you may want to select Always show on all the other items in the Customize list.