API functions InternetGetConnectedState and InternetGetConnectedStateEx can be used.

Also you can ping any proven web server and see if there is a response.

Retrieving a state of your Internet connection
http://www.news2news.com/vfp/?example=68

Determining if an Active Network Connection is Available
http://www.news2news.com/vfp/?example=324

How to ping a specified host from the VFP application
http://www.news2news.com/vfp/?example=382

Retrieving list of all active RAS connections
http://www.news2news.com/vfp/?example=326