With Fast User Switching enabled, one user doesn’t have to close down for another to login.
To enable Fast User Switching, choose Control Panel->User Accounts, Change the way users log on of off and enable the ‘Use Fast User Switching’ checkbox.
To ensure the dial-up connection stays connected when Fast User Switching is enabled, choose Start->Run, type Regedit. Locate the key HKEY_LOCAL_MACHINESOFTWAREMicrosoftWindows NTCurrentVersionWinlogon. Right-click in the right-hand pane and choose New->String Value, type KeepRasConnections, then double-click it and set its value to 1. Restart your PC.