You can use the same dialup connection open for different users, see Keep a Dial-Up Connection Open for All Users . The link talks about Fast User Switching, but works with both FSU and normal logoff/logon. I believe this functionality applies to other NT-based versions of Windows also.

I originally set this up when I installed XP, but it disappeared recently. When searching for the "how to" I noticed that it wasn't mentioned in the Lounge, so I thought I'd share.