Solution : Switching User Without Disconnecting Internet

  Thanks to Andrew for this post. Downloading stuffs from the internet, and you thought it would be safe to change to another user. Upon returning to that user (that’s downloading stuffs), you realised the connection was cut during the switch.

  Too bad, it’s too late, but you can fix that. What you need to do is do a bit of tweaking with your registry and you’ll be able to switch without disconnecting. Obviously, the first steps would be:

1. Click 'Start' > 'Run'
2. Type regedit 
3. Navigate to : HKEY_LOCAL_MACHINE/SOFTWARE/Microsoft/Windows NT/CurrentVersion/Winlogon
4. Right-click the empty area on the right-hand pane
5. Choose 'New/String Value'
6. Name it KeepRasConnections 
7. Double-click the new key & set it to '1'

  There, if you followed the steps carefully, you should be fine with the changes you’ve made.

Source : http://www.computing.net/answers/windows-xp/switching-users-disconnects-interne/37747.html