This is from Microsoft's website
(
http://support.microsoft.com/default.aspx?kbid=826955):
<<Note Some dial-up connections may not appear in the
Network Connection folders. For example, AOL and MSN dial-
up connections may not appear. In some cases, you can use
the following steps to turn on ICF for a connection that
does not appear in the Network Connection folder. If
these steps do not work, contact your Internet Service
Provider (ISP) for information about how to firewall your
Internet connection.
Start Internet Explorer.
On the Tools menu, click Internet Options.
Click the Connections tab, click the dial-up connection
that you use to connect to the Internet, and then click
Settings.
In the Dial-up settings area, click Properties.
Click the Advanced tab, and then click to select the
Protect my computer or network by limiting or preventing
access to this computer from the Internet check box.
For additional information about how to turn on Internet
Connection Firewall in Windows XP or in Windows Server
2003, click the following article number to view the
article in the Microsoft Knowledge Base:
283673 HOW TO: Enable or Disable Internet Connection
Firewall in Windows XP
Note ICF is only available on Windows XP, Windows Server
2003, Standard Edition, and Windows Server 2003,
Enterprise Edition. Basic Firewall is a component of
Routing and Remote Access that you can enable for any
public interface on a computer that is running both
Routing and Remote Access and a member of the Windows
Server 2003 family.>>
Jenny