Connecting to I-tunes store via router

[#1]

I used to connect to the i-tunes store via a Zoom ADSL modem, have now upgraded to a router.  However when trying to connect to I-tunes store, I-tunes wants to use my old connection and brings up the dial up connection box.
Have spent several hours trying to resolve but with no luck. 
Any suggestions?
Thanks

[#2]

It could be picking it up from Internet Explorer.
In IE under the Tools menu choose Settings on the Connections tab choose never dial a connection if it's not ticked.

[#3]

Quote from: adiewoo

In IE under the Tools menu choose Settings on the Connections tab choose never dial a connection if it's not ticked.

This box has a tick in it

[#4]

All resolved now turns out I had to change a couple of settings in Zone Alarm

[#5]

Glad it's sorted

[#6]

ZoneAlarm, don't get me started!