The "Connect to the Internet" program is a wizard that will completely walk you through the process of setting up your computer to connect to the internet. It starts by determining if you already have an internet connection. If you don't the wizard will ask you how you want to connect (wireless, broadband or dial-up), then leads you through the process. If you don't have an Internet Service Provider, it will even help you find one.
Once you have setup and connected to the Internet, use the "Register Windows online" feature to register your copy of windows with Microsoft. Once you do that, you will find more information, features and support available - even automatic emails that you can receive to help you acclimate to Windows Vista.