This notification message usually results when using a bridged DSL modem and a PPPoE connection on Windows XP.
using this type of setup, the LAN connection's primary role is to
connect to the DSL modem. The PPPoE software is the software used to
connect to the ISP and will show the DSL connection status.
To turn off the limited or no connectivity message window, follow these steps:
Click Start-> Control Panel-> Network Connections (need to be in Classic View)
Right-click on the Local Area Connection icon and choose Properties.
Remove the checkmark next to Notify me when this connection has limited or no connectivity.