After you have set the location, you can change and edit it with the Phone & Modem options in Control Panel. You can also create New locations. (Helpful if you have a mobile computer that you use in various locations.)
To create a new connection, click on "Set up a dial-up connection"
Enter the Phone Number (the dialing rules link is important as it will determine whether the number you put in here is actually dialed, or whether modifiers like 1 or area code, or outside line digits are added). You may enter your username and password, or, you can leave them blank and you'll be prompted for them when you attempt to make a connection. You can put a descriptive name in the "Connection name" box. If you check the "allow other people..." box, the connection will be available to all users of your computer; if you leave it unchecked, only your username will have access to it.

After you have entered a phone number in the "Set up a dial up connection" window as shown above, the "Connect" button becomes clickable. There is no "Save" button - only "Connect" and "Cancel". You must click on "Connect" to save the connection, which will start an attempt to make a connection using the username and password (if any) you entered. This dialog will have a "Skip" button which you can use to skip the connection test. If the connect test fails, you will be shown a window similar to below:

If you select "Try again", Windows will make another attempt to dial the ISP and connect. If you select "Diagnose the problem" you will be presented with a window that says there is no problem. (Apparently, Windows Vista is unable to diagnose any dial-up problems at all - every test I have made results in the problem being diagnosed as no problem.) Or, you can select "Set up the connection anyway", or click "Cancel" which will abort the attempt to set up a dial-up connection.

Once the connection has been set up, you can use it, or edit it.