Vista - IE diagnose network problem and system tray icon

I've had a few times when IE couldn't load a page and displayed a
button for diagnosing network problems; at the same time, in the
system tray, the blue circle disappeared for a minute. Then
everything went back to normal.

Just now, I got the same IE message but the blue circle remained okay.

Could this IE message have to do with something besides my internet
connection? Or perhaps there was an outage so short that the blue
circle just didn't display it.

(I have IE8 and Vista.)