Should be able to set it up via "dial up networking" in win 98/ME go via "accessories" then "communications". Should work without any problems AFAIK. (Use connection wizard if using XP btw)
Just go to "make a new connection" and have user name password and number to be dialed to hand so you can add them when required and you should be fine.
Post again if you have any problems.
EDIT: Welcome to NTLW btw
sorry missed your arrival earlier.