Make your connection, however you do it, then run your apps. Simple.
   
   Win95's WINSOCK.DLL and WSOCK32.DLL include a "standard" Windows
   Sockets API that works with ANY properly written Winsock program. All
   of the Public Domain, Freeware, Shareware, and a surprisingly large
   number of Commercial apps, run with these libraries.
   
   If you installed Internet Explorer, you'll find that your dial-up
   connection requester will pop up when you run a Winsock app, if you
   aren't already connected. This is pretty nifty, and you can control
   this auto-dialer from the new Internet control panel that shows up. Of
   course, Auto-dial is pretty useless if you use TCP/IP over a network
   card.
   
   Be VERY VERY CAREFUL if you install any one-shot packages which
   include their own dialers. These will often replace the OS standard
   WINSOCK.DLL with their own to accommodate their dialer. When you shop
   for such programs, make sure they have an option to use any existing
   TCP/IP and dialer you already installed. One such evil program is
   Netscape Navigator Personal Edition. Make sure you tell this program
   to "Use existing Winsock and dialer".
   
   A really good tip, regardless of whose TCP/IP stack you use, is to
   write-protect WINSOCK.DLL and WSOCK32.DLL. Bring up a DOS prompt, type

CD \
DIR WINSOCK.DLL /S

   and note what directory the file is in. You'll probably find multiple
   WINSOCK.DLL files if you installed any "All in one" apps. Change to
   that directory then type

ATTRIB +R WINSOCK.DLL

   Do this for WSOCK32.DLL as well.