I'm kind of a newbie but,
I never really had to check to see if there was an internet connection, i just call winsock and it will logon if the computer isn't or do whatever internet tasks you wanted if the computer is.
I realize this is very basic, however, so I'd like to see the answer to your question too.
There's a snippet from vb-helper i downloaded a while ago that is supposed to check the modem to see if there is a connection, if you want, i'll send you the zip.
A different approach to this problem
I'm one of those whose asked about this same topic in the past. Since there doesn't seem to be an all-inclusive solution (that I've seen at least :)) then, maybe this technique can be attempted.
Maybe your program can attempt to navigate to a certain webpage. If an error is returned (meaning the page isn't available because you're offline), then you know you're not connected. If the page is displayed without any errors, then you know that you are connected.
I know that this is a simple solution, but sometimes simple solutions work best! Also, this basic logic could probably be adapted to all the ways that are available to connect to the Internet.
All the best.