>We use the function
>DWORD InternetDial( [...]
> LPDWORD lpdwConnection,
>);
>with declare InternetDial in wininet.dll.....
>and it's work well
>BUT
>When we call InternetHangUp() ... the modem don't hang up...
>as the lpdwConnection isn't return the connectio number

Are you sure you have

DECLARE ... INTEGER @ nConnection ...

in the declaration and

nConnection = 0
InternetDial(...,@nConnection,...)

in the function call?

bye