If you setup your Connection Manager correctly then you can do both...
http://members.cox.net/ajarvi/WM2003/Connection_Manager/ConnectionManager.html

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Al Jarvi (MS-MVP Windows Networking)
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> With PPC2003, I find it very annoying that I can only connect to either Work
> (LAN) or Internet (WAN) but not both at the same time (not without setting
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>
> Marshall