Which version of Windows are you using?
I would suggest you do a Ctrl-Alt-Delete.
Only do this once. Look at the tasks running in the taskmanager. If it is not XP end every task except System and Explorer.
In XP, look at the tasks, also look at the Processes. Delete unneeded tasks and processes.
Another alternative...unhook the internet. Just unplug it completely. It should register soon enough that you have unplugged, unless there is something seriously different about your system going on...at least I imagine so.
You could also go directly to the connectionwizard, as well as the internet connect without using the icon. If you don't have an icon, that might be a good place to start to see what exactly is going on.