In order to proceed with setting up a Dial-Up Networking connection, you must first have NT's Remote Access Services (RAS) installed on your system.

To find out if it is already installed, double-click My Computer, then Control Panel. Double-click the Networkicon, and select the Services tab. You'll see a list of all of the networking services that are currently installed on your system. Look for one labeled "Remote Access Service", as shown here:

If you see that listed, then you can go on to Configuring Remote Access Services.
Otherwise, you need to install Remote Access Services.