Depends what version of Windows you are running, the below will work on NT (NT4(?),2000,XP,+) but will NOT work on 9x, it simply uses rasdial to check for a Dial-up connection.
Code:
alias findconnect {
  ; use COM to run rasdial & "find" the string "Connected to" in the output, which is written to a file (ras.txt)
  ; this will wait till the above finishes before continuing, but will not freeze mIRC
  var %a = $ticks
  .comopen %a WScript.Shell
  if !$comerr { .comclose %a $com(%a,Run,3,bstr,cmd.exe /c rasdial|find "Connected to">ras.txt,uint,0,bool,true) }

  ; check that ras.txt is more than 0 bytes
  ; if no connection is found it will be empty
  ; if a connection is found it will contain [color:green]Connected to[/color]
  if $file(ras.txt) { echo -a call.your.email.check.from.here }
  .remove ras.txt
}