You may access an Internet connection that is already set up by any of the following means, and then you may right-drag it somewhere to create a shortcut. Navigate to ‘Start->Programs->Accessories->Communications->Dial-up networking’ or to ‘Start->All Programs->Accessories->Communications->Netowork Connections’ or to ‘Start->Connect To’. Depending on your version of Windows one or more of these methods may not work, but one of them, at least, will.
To create a new dial-up connection to the Internet (that is, not a high-speed connection) navigate to one of the three places above (if it is the last one click on ‘Show all connections’). Then there will be either an icon that says ‘Make New Connection’ or an item on the left-hand side labeled ‘Create a new connection’. Open the one that your computer has and follow the instructions. If it is called ‘Create a new connection’ you can also create a high-speed connection in there.