It is possible to make a shortcut to directly open the network connection dialog.
Just link to this file:
explorer.exe ::{7007ACC7-3202-11D1-AAD2-00805FC1270E}
You can save it as an shortcut since its a little difficult to remember the GUID.
See how to here
6fbb1e05-4631-44b2-bf12-640752f59ce8|0|.0
Windows Vista