Simply add this string to your registry, and your computer will keep your connection after you log off, and switch user until you disconnect it
Standard Warning: You really should back up your system before making any changes to your registry
1. Open Registry Editor
2. Go to HKEY_LOCAL_MACHINE\Software\Microsoft\Windows
3. Click Add String Value within the Edit menu.
4. Type KeepRasConnections in the dialog box, and select REG_SZ as the
5. Click OK.
6. In the next dialog box, type 1 and click OK.
7. Close the Registry Editor.