adz:
The selection and configuration for PPPoE is done through your router. Most, if not all ISPs use that protocol; turning it off or eliminating it will probably result in "no connection".
WIKI definition of PPPoE
If that message is showing up in your top menu, that means you have something configured incorrectly with your router. Check your router manual for proper setup - possibly you can reset the router to default and it will fix itself. Any questions on what to use, contact your ISP support.
Regards.