There are two settings in Outlook Express which, when combined will result in your connection dropping almost as soon as you open the program.
The first is 'Send and receive messages at startup'. You can leave that unchanged but, if you want to alter it, go to Tools > Options > General and look under Send/Receive messages.
The option which is really causing the problem is 'Hang up after sending and receiving'. To disable it, go to Tools > Options > Connection. Remove the relevant tick. Click 'Apply' and 'OK'
Chris