The New Connection Wizard sets the Never dial a connection option, instead of the Always dial my default connection option. Hence, Internet Explorer does NOT automatically dial your connection, even if you set the Make this the default Internet connection option, which is selected by default.
To workaround this issue, use the Internet Connection Wizard instead of the New Connection Wizard, to create a new Internet connection, or to set Always dial my default connection.
To set Always dial my default connection:
1. Open Control Panel / Internet Options.
2. Select the Connections tab.
3. Select Always dial my default connection.
4. Press OK.
To use the Internet Connection Wizard:
1. Press Start / Run.
2. Type Inetwiz.exe.
3. Press OK.