>>One thing I am pretty sure of ... IE trying to access the internet, even when closed, is surely an artifact of the "integration" of MS Windows, IE, and Messenger. How it actually happens is anyone's guess!
It wasn't IE if IE was closed. It's something else, but it's much harder to determine in Win98.
Aside, I don't know about MSN Messenger, but Windows Messenger, its inbred cousin that is installed with Office, can be disabled in XP by unchecking it in Control Panel/Add&Remove Programs/Add&Remove Windows Components.