Multiple Internet Network Connections

I have just got a new laptop with Windows 7 (finally!) My question is this:

Is there a way to configure multiple internet connections with either a preferred primary connection or a way that I can manually route applications to a specific internet connection.

For example I am connect to a corporate lan for corporate email, unix access etc, can I plug in my 3g card and then use that connection when i use msn or a specific browser? I want both connections active at the same time, but the banned stuff on the corporate network to use my 3g connection.