Why does this show up every now and then?

[neoelectronaut]

http://img.photobucket.com/albums/v16/Jyaashu/Mac Screenshots/Internet_Connect.jpg

And how can I turn it off?

 

[varmit]

http://img.photobucket.com/albums/v16/Jyaashu/Mac Screenshots/Internet_Connect.jpg

And how can I turn it off?

You have dial up at some point. It keeps coming up because it wants to connect your computer to the internet. I would say turn off any dial up settings that you have.