Is it possible in python?
I found kind of a "hack" to do it on my 6680, but it's still under test: if you call builtin browser by means of appstart and providing an URL, browser is started and connection is opened without asking for confirmation. I don't know if it's due to phone being locked on a single operator (H3G), as my nokia 6600, not locked, does not work in this way: it asks me for confirmation as soon as I call browser.
Another technical issue is that once I call the browser, my python program locks until I close the browser!
I didn't yet tested appswitch or keypress to programmatically close it...
But I did another test with keypress, to simulate keypress of YES key on confirmation dialog: it does not work, keypress is not received by the dialog.
I think another method would be to use an hacked java midlet, which can be started by means of keypress: an hack for sending SMS by midlet without user confirmation already exists, and I really think same method could be used for network connections... but I don't know which is the class that we have to edit!