Your modem must be properly installed in order to create a new connection.  You can install a new modem by  selecting Modems from Control Panel, Double click the new modem icon to start "Install New Modem" wizard.

Install New Modem Wizard

1. The wizard will try to detect your modem automatically.
2. Click Next.

1. If a modem is detected install it by using its driver's disk if a modem is not detected go to step 4. 
2. Click Next.

1. Select the model of your modem from the given lists
2. Click next.

1. Select the communication port for your modem.
2. Click next.

1. Double click the modem icon to set different properties for it.