Some users have reported the problem of Connect using a dial up modem being greyed out and unselectable while setting up a new connection with the New Connection Wizard.
http://support.microsoft.com/default.aspx?scid=kb;en-us;320558
http://www.winbookcorp.com/_technote/WBTA20000897.htm
http://support.microsoft.com/kb/329441
Error 711: Cannot load Remote Access Service Connection Manager.
The Microsoft Knowledge Base has an article on this error: