If you dial-up connection isn't configured to "dial-on-demand" (i.e. establish a connection automatically whenever there is traffic to the internet) you could ping a few known internet hosts and if any of them respond you can safely assume that you are conneted to the internet. This approach will work independent of OS.

I image there is some funky registry entry or something you can check, maybe look for a routing table entry out the PPP interface. But I almost never touch Windows, so I can't vouch for a more internal method being available.