The "Always dial my default connection" selection in the Connection tab of Internet Options is changed to "Never dial a connection" when my computer is restarted. Not every time, but often enough to be a nuisance. It has to be a simple registry change, but what?

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There are 3 entries "RemoteAccess", one in HKCU, one in HK_USERS\.default and one in the first HK_USERS\S-1-5....
The HKCU and S-1-5 have an entry "\Profile\[your dial-up ISP]\AutoConnect" with Reg_dword value 0 (on my PC).
My PC has W2K/SP4 and broadband, no modem in it, and it is set to "Never dial a connection"
See what it shows there.

Thanks for your reply. Please tell me exactly where those keys are in the registry.

BTW, I'm running Windows XP SP2

HKCU = HKEY_CURRENT_USER\....
others are HKEY_USERS\....

Click on the +box in front of the HKEY entries, scroll down to the wanted key. Repeat +box clicking as necessary.

I would advise to leave the registry alone, UNLESS you know what you are doing!
There is no such thing as a simple registry change....