[alexey_ma]

MSDN:

InternetGetConnectedState
Retrieves the connected state of the local system.

BOOL InternetGetConnectedState(
  LPDWORD lpdwFlags,
  DWORD dwReserved
);

Еще можно попробовать это:

RasEnumConnections

The RasEnumConnections function lists all active RAS connections. It returns each connection's handle and phone-book entry name.

DWORD RasEnumConnections(
  LPRASCONN lprasconn,
  LPDWORD lpcb,
  LPDWORD lpcConnections
);