If you intend to connect to the Internet via ordinary phone lines, courtesy of your Mac's built-in modem, you need to sign up for Internet service. Hundreds of companies, large and small, would love to become your Internet service provider (ISP), generally charging $20 or $22 per month for the privilege of connecting you to the great Internet.
A setup program for Earthlink, a popular ISP, presents itself as part of the Setup Assistant program that runs the first time you turn on a new Mac.