I am running Windows 7 RC, but have noticed this behavior on Windows Vista as well.
When I am in an area that has a wireless network and I plug in my wired network so I can get a better connection (faster, more reliable), Windows continues to use the wireless network for everything.
It is not a matter of if a connection starts on the wireless it stays there, and I just need to restart my apps. All connections, new and old, are started on the wireless if it is available, irregardless of the wired connection being active or not.
Right now I toggle my hardware wifi switch on my laptop, but I would prefer if I could tell Windows to prefer one connection over the other.