There are many utilities to do this.
Let me google that for you
http://lmgtfy.com/?q=keep+internet+connection+alive

 

easy; Two solutions

1. ping your ISP Gateway
2. or better (imo), ping the ISP DNS address

navigate to your %profile%

on XP: \Documents and Settings\LoginID\
on Vista: \Users\LoginID\​

get notpad running

add one line to the file

ping -t address ​

your DNS is easily found with ipconfig /all

your gateway address depends upon if you have a router
without a router, it's shown in the IPCONFIG above

with a router, login to the admin page

find the WAN side page
the gateway will be seen there​

Save the notepad file as
pingGateway.bat or pingDNS.bat (depending upon the address you inserted)

when you need to run the ping use run->.\pingDNS.bat and minimize the window.