Vitor, I don't quite know what you are asking. How would you expect the
operating system to know what advice to give you, shouldn't you know whether
you want to disconnect or not?
Check your settings here:
IE/Tools/Internet Options/Connections/Settings/Advanced/Disconnect when...
When you quit Internet Explorer, you may not be prompted to disconnect even
if the Disconnect when connection may no longer be needed option is enabled.
The following registry value also verifies that the option is enabled: Go to
Start/Run/Regedit and navigate to this key:
HKEY_CURRENT_USER\RemoteAccess\Profile\"Connection
Name"\EnableExitDisconnect. The value should be 01 00 00 00.