Try
            Dim siteUri As New System.Uri("http://www.microsoft.com")
            Dim webRequest As System.Net.WebRequest = _
            System.Net.WebRequest.Create(siteUri)
            '   Dim prox As System.Net.GlobalProxySelection
 
            webRequest.Proxy = New System.Net.WebProxy
            Dim webResponse As System.Net.WebResponse = webRequest.GetResponse()
            Application.DoEvents()
        Catch ex As Exception
            MessageBox.Show("Es exisitiert keine Internetverbindung!", _
              "Fehler", MessageBoxButtons.OK, MessageBoxIcon.Error, _
              MessageBoxDefaultButton.Button1)
            Exit Sub
        End Try

InternetGetConnectedState

Private Declare Function InternetGetConnectedState Lib "wininet.dll" (ByRef _
  dwFlags As Integer, ByVal dwReserved As Integer) As Integer
 
Dim flags As Integer = 0
Dim inet As Integer = InternetGetConnectedState(flags, 0)