Click on Start>Run..., type regedit.exe and click OK. Delete this key:
HKEY_CLASSES_ROOT\CLSID\{7007ACCF-3202-11D1-AAD2-00805FC1270E}
Restart to apply the changes. I haven't had any ill effects so far. Make a backup of the key just in case (select the key and click on File>Export...).
thankyou
Unfortunately it ALSO removes the active icons (when you're plugged in/connected), and completely disables the Status page for any given connection (or it did on my WinXP SP3 installation), so monitoring connection activity is pretty much impossible unless you have 3rd-party software.
Overall, it's useful if you're using a 3rd-party app to manage stuff, but more annoying than not if you're trying to use Windows' built-in tools. I can't really recommend it either way; there's probably easier ways out there to remove the icons.
Remember: if you do decide to do it, export the key before deleting it, so you can re-enable it later if you need to!