Preventing Game Explorer and WMP from Auto Connecting to Internet

Whenever I open the Game Explorer window or Windows Media Player, they
automatically connect to the internet without requesting my permission to do
so. I do want them to check the internet for game and music information, but
only if an internet connection is already present.

My Internet Connection Option is set at "Dial Whenever a Network Connection
is Not Present". When starting any of my other internet capable programs,
including Internet Explorer and Outlook, this setting results in the
connection dialogue box appearing to request my user name and password. A
connection will not be made without me clicking "OK". However, Game Explorer
and Windows Media Player just dial out to grab whatever information they are
looking for.

Is there a way to prevent them from automatically connecting to the internet?