I don’t know if this is the final solution, but i had the same problem in windows 98se. I have a dutch version of outlook express, so the following names can be slightly different translated:
Open outlook express. Go to: Extra, options, connexion.
There is a message that outlook express uses the same connection as explorer. Press the button “change”(?). In my case the option “never choose a connextion” was activ. Change it to “Always choose my default connextion” and save.