Microsoft Knowledge Base Article 328523 contains the following summary:

If you start the Internet Connection Wizard (ICW) in standalone mode (that is, the Internet Connection Wizard is not started by another program such as Microsoft Internet Explorer or Microsoft Outlook Express), the last page of the wizard contains a check box that, by default, starts Internet Explorer when you complete the wizard. Microsoft has released an update that removes this check box on Windows 2000 Professional with Service Pack 3 (SP3) applied.