Internet won't disconnect

[CyPHeR]

I have bt broadband 1 meg connection,when i have finnished with the internet i click on the icon in the task bar and click disconnect,all the programs i was using(like msn messenger,yahoo messenger)will disconect,but the internet doesn't,the little icon still says that the internet is connected,and if i try to shut down my pc,i get a box saying"connections tray"this program isn't responding,end now"and when i click end now,my pc starts to shut down,but goes to the saving your settings screen,and stays there,i have to switch it off manully on the front panel of my pc.