|The icon itself has disappeared, or you're no longer able to connect?|
Right click on My Network Places and choose "Properties" from the menu that comes up. Right click on your Connection (usually "Local Area Connection") and select "Properties" again.
In the window that opens look at the bottom and see if the box beside "Show icon in notification area when connected" is checked.
If it is, then you likely have a connection issue.
If it's not, check the box and see if it doesn't appear.
If it turns out you have a connection issue, open a command prompt window (Start >> Run >> type cmd and hit enter) and enter the following command:
Post the returned data in here for us to review