I think i found the app you need (ofcourse if your still needing/wanting this sort of app!
TICK (previously called TICK98) is probably the ultimate freeware dial up enhancer for Windows 95/98/NT4/2000/XP or Millennium-Me.
Sound an alarm when you connect and disconnect.
free too!
http://www.reallyeffective.co.uk/tick_features.html