The Dial-Up Adapter is not bound to the TCP/IP protocol.
This happens often when you have AOL installed after you have installed your local dialers, or you installed your local ISP's own dial-up program they sent you.
Go to Start/Settings/Control Panel/Network and under the Configuration tab you should see:
TCP/IP->Dial-Up Adapter
TCP/IP->Dial-up Adapter #2 (VPN Support)
and possibly:
TCP/IP->Dial-up AOL Adapter
You need to DELETE** both your TCP/IP->Dial-up Adapters (leave the AOL one alone) and reinstall fresh
Reinstall TCP/IP Protocols
Go to Start/Settings/Control Panel
Select Add/Remove Programs then click on Windows Setup tab

Select Communications (unselect others)

and double click
Select only Dial-up Networking (unselect others) and click OK then OK again

Click on HAVE Disk
If you do not have your disk then browse and install from your .cab files on your existing Hard Drive.
**make sure you have your Win95 or Win98 disk available before you delete anything or you know where your .cab files are located on your Hard Drive.