In the case of wifi, this can be fixed by simply disconnecting from the wireless network that has the captive portal. I'd also recommend unchecking the automatically connect option for any wifi network that has a captive portal, otherwise you'll be plagued by this.
Changing the registry setting is more of a nuclear option, so I recommend against using it unless you don't know what interface windows thinks has a captive portal. What you can try is disabling each network interface one at a time (including software interfaces, like tunnel or VPN interfaces.) Open the change network adapter settings applet (right-click the network icon in your systray, click view network connections, click change adapter settings) then try disabling those one at a time by right-clicking on the adapter icon and clicking disable.
Sure it is a 'nuclear' option but maybe that's what you want for a s**t feature like this. I don't have auto connect enabled, but manually disconnecting WiFi feels like dialing in and out on a 56k modem back in the days, nobody does that when you just leave work/airport and shut your computer - typically a notebook - down and leave the place.
On the other hand: Might be a loss of comfort for inexperienced user on airports, but typically you would open a browser, hit your start page and get redirected in 99% of the cases where you connect to such networks anyways, so I don't see any downside of muting the behavior down via registry.
It's highly intrusive and the fact that even Microsoft support gets fooled by it tells me this is just bad design.