I use 3Mobile for connecting to the internet, and since they did a complete upgrade to the modem software the other week I do get that 'page not loaded' problem more often than I used to. But, for me, simply clicking on the Try Again' button then loads the page ok without needing to disconnect/re-connect.
Incidentally, assuming it's the same interface, do you also have a problem with the 'Launch three.co.uk on connect' setting? I clear the tick but it keeps resetting itself so that the internet browser always launches when it connects.
(Fortunately I nearly always want to go on to the internet at connection time so blocking the site means that that happens without going to their site)