Since you're using Windows 98, I suggest using Internet Connection Sharing (ICS) instead of HHPROXY. ICS can be configured to automatically connect and to drop the connection after it has unused after a certain period of time. While the auto-connection works well, the automatic disconnection does not work particularly well, because Windows tends to "chatter" across the connection often enough to keep it alive. However, because of this chatter, there is no good way that I'm aware of to have the connection automatically dropped.
For more information on ICS in Windows 98, check here.
This was first published in January 2002