Yes, how you're disconnecting would be good to know, also what system you're using (fill out the computer specs in your profile-- Profile menu -> Forum Profile).
You're using dial-up then? Usually modems will already automatically disconnect from your ISP after just a half hour or so of idle time, unless you have some kind of ping set up.
Are you using an external modem? I've used external ones before that don't respond to commands correctly the first time after power on. I just had to try to connect a second time and it worked fine always.
For Win XP, if I want to disconnect from the internet, I use the Network Connections in the Control Panel (Start menu -> Control Panel). Then I right click on which connection it is, and select Connect/Disconnect for dial-up, or Enable/Disable for broadband. I don't usully experience problems reconnecting when already offline (unless it's a WiFi signal or router issue). But if there's a problem with a live connection, using Repair will many times reestablish a viable network connection.