There is no way to do that in either KDE or GNOME. However, you can do something just as easy that you can't do in Windows - add a dialup applet to the panel. See my desktop here:
In the top middle you can see a thing in the panel with 2 lights, that is the dialup applet. To go online/offline, I just click the green circular button. Nothing to it. KDE probably has something similar.