If you are not using an external router to handle the connection to your ISP, windows still sees it as a dial up connection. The difference being that it dials up using an ADSL modem rather than a conventional analogue modem. I have heard of ISP's that will also supply conventional dial up details for customers to use in the event of a problem with the ADSL.
Before I going on, how long ago did you order the broadband? It takes up to 10 days for your ISP to set you up as they have to get some work done at the telephone exchange. If it is less time than this, it is very possible that they haven't finished yet and it will work soon.
Having said that, if this is not the case. When you signed up with your ISP, you should have been sent an ADSL modem, and at least one microfilter that separates the voice signal on your phone line from the data signal. The ADSL modem will connect to the PC via a USB cable and then has a cable with small clear squareish plugs at either end that that connects from the ADSL modem to the mircofilter. If you have other phone sockets in use in your home, you will also have to purchase microfilters for each of them to stop the phones interfering with the ADSL signal. Don't forget your Sky box if you have one, often overlooked,but connects to the phone line. A common type of ADSL modem is a Speedtouch modem. This will install a diagnostic utility that can be seen in the system tray at the bottom right of the screen. Is has an icon of 2 arrows, one pointing up, one pointing down. If you do have this, you should be able to click on the icon and run a diagnostic program that will check the line for the presence of an ADSL carrier signal.
I'll let you check this lot before going on.