To create a new Dial-up connection select My Computer -> Dial-up networking -> Make new connection. In the window Make New Connection enter the name of new connection  (i.e., UMC NET GPRS) and select the modem of the mobile phone to be used for the access purposes:

Press Next. In the new window in the line Telephone number: enter the short access number depending on the phone model, and press Next.

In the next window press Finish.

To set parameters of the new Dial-Up connection visit My computer -> Dial-up networking, press on the new connection UMC NET GPRS using the left button of the mouse and select Properties. On the  General take off the mark sign Use area code and Dialing Properties.

Select the bookmark Networking and make sure that you selected TCP/IP. Other protocols needs to be switched off.