To set this up you need to set up the DNS in two different places, as you have two differnt DNS's.
The first place is in the network settings:
Start -> Settings -> Control Panel -> Network. Under the protocals tab, tcp/ip settings-> propreties. DNS Tab. Here you want to enter you LANS DNS numbers.
The second place is:
My Computer -> Dial-Up networking, select the place you're calling, then click "more V" and select the first option (Edit Entry and modem propreties), click the server tab, TCP/IP settings and then you can enter the DNS for the dial up networking.
This should use the DNS for the LAN first, then the DNS for the dial up when connected to the ISP.
-Ross