To remove the Dial-Up Networking icon from My Computer, close My Computer and use Regedt32.exe to edit:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Explorer\MyComputer\NameSpace

As it is too easy to mess this up, first Save Key from the Registry menu, and save a backup copy of the NameSpace key. If you must subsequently restore, select the NameSpace key and click Restore from the Registry menu and choose this file.

Navigate to the \{a4d92740-67cd-11cf-96f2-00aa00a11dd9\} sub-key and make sure that the only value is <No Name> of type REG_SZ with a string of Dial-Up Networking.

Select the \{a4d92740-67cd-11cf-96f2-00aa00a11dd9\} key and press the Delete key on your keyboard. Confirm the deletion and exit the Registry Editor.

Open the My Computer folder and verify that the Dial-Up Networking link is no longer present. If it is, logoff / logon and it should be gone.