You can implement some behavior for stubs via Do()
handler.
Here is a solution for your case:
var isConnected = false;
var stub = MockRepository.GenerateStub<IConnected>();
stub
.Stub(c => c.IsConnected)
.Do((Func<bool>)(() => isConnected))
.Return(false);
stub
.Stub(c => c.Connect())
.Do((Action)(() => { isConnected = true; }));
now just test:
Console.WriteLine(stub.IsConnected);
stub.Connect();
Console.WriteLine(stub.IsConnected);
But it would be much better if you redesign your tests to avoid cases when you need such a complex stub (of cource if it is possible). Probably split test into a few more tests might be suitable.