Works fine for me. Have you tried to nagivate to a site that you know is up and running ? The fact that it's displaying "Connecting" may imply that wherever it was navigating to wasn't available
Code:
Option Explicit
Private Declare Function ShellExecute Lib "shell32.dll" Alias "ShellExecuteA" _
(ByVal hwnd As Long, _
ByVal lpOperation As String, _
ByVal lpFile As String, _
ByVal lpParameters As String, _
ByVal lpDirectory As String, _
ByVal nShowCmd As Long) As Long
Private Const SW_SHOWNORMAL As Long = 1
Private Sub Form_Load()
Dim lngRet As Long
lngRet = ShellExecute(Me.hwnd, "Open", "http://www.google.com", vbNullString, vbNullString, SW_SHOWNORMAL)
End Sub