The Add Connection wizard will take you through the process of creating a VPOP3 Connection method, and, optionally, the associated Out Mail method. To get to this wizard, go to the External Mail -> Connections page and press New.

The Connection Name is a name you assign to this Connection method - it has no technical significance, it is merely for your reference.
Choose whether you want this connection to use a LAN Connection or a Dial-up Connection
The Use with Main Schedule option lets you say whether VPOP3 should use this Connection method as part of its normal operation.