dbus-scripts does that (available on extras repository). Just install this package, find the id of your network by looking at the output of

gconf -R /system/osso/connectivity/IAP

and create a file in /etc/dbus-scripts.d/ containing the lines:
/connectscript * * com.nokia.icd * network_id * CONNECTED
/disconnectscript * * com.nokia.icd * network_id * IDLE

(replacing network_id with the correct id and /connectscript with correct path of the script you want to run on connect.)


In extras-devel there is a package called dbus-scripts-settings which allows doing these things using a GUI.