Setup a New Windows ME Dial Up Networking Connection

Windows Me Dial-up networking is not shown on My Computer as in Win9x; instead, it appears in Control Panel,andalsointheStart->Settings Menu as "Dial-up Networking:

Creating a new connection - Double-click Make New Connection.

Welcome to Dial-up Networking screen.
Name the connection, and select the modem you are using from the drop-down. (Screens that you get if you click Configure are shown on the page for Editing WinME connections .)
Enter the phone number
You are finished.

Above summarized and adapted for NFN use from:
http://modemsite.com/