Connecting Internet & private lan

Hi,
i have a problem to have both on my windows me a remote
connexion through a modem and a connection to a private
lan. I don't want to share my internet connection and i
don't have any proxy or gateway.
In fact, when i open IE the automatic connection through
modem work well but if i change in the URL box to an
private ip address it can't find the host and ask me if i
would be work without connexion or if a want to connect to
internet.
In my network parameters i have:
client for windows
remote access card
ethernet card
TCP/IP --> remote access
TCP/IP --> ethernet card
share files and printer
Can you help me because i don't know if it due to IE and
properties to my internet connexion or if it due to
network properties.

Best Regards, Manu