In other words, applications on OS X don't know anything about internet connections. They try to send and receive data, and the OS takes care of the rest. If that means dialing up a modem, then that's what the OS does. All related settings are found in System Preferences (or perhaps the Internet Connect app; I forget, since it's been a long time since I used dialup).
The only network-related setting you can change in Firefox is the proxy settings. And that's an exception to the rule, as most apps get their proxy info from System Preferences.