You can use the Windows help file 'Connecting to the Internet'. Work through the steps indicated, you may have to set up the modem if this has not been done. Again all the information is shown in the Windows help file in a step by step procedure.
To install the Dial-Up Networking files you will require the Windows 95 CD or disks.
Press Start on the Taskbar at the bottom left of your screen. Move the cursor over Settings and click on Control Panel, find the icon Add/Remove Programs double click on it.

At the top of this window click on Windows Setup, you will see a list of components that can be added, look for Communications and mark the small box with a tick. Click Details and check Dial-Up Networking, click OK and then OK again. Dial-Up Networking should be installed.

If you've had to install DUN on your computer you will also have to setup the Network Properties. Find Network in the Control Panel window.
Look at Windows Help file, and follow the procedure.

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Have a nice day!