If you've not got the menu bar (File, Edit, View, etc) across the top of your Internet Explorer window, start by enabling it. (Right-click at the top of your screen and click to put a tick next to 'Menu Bar')
Then go to Tools > Internet Options and click on the Connections tab.
You should see your dial-up connection shown in the box. Click on it to highlight it. Click 'Remove' and then on the option to confirm your action. Click Apply and OK. Close Internet Options by clicking on the x at the top right..