If you mean setting up a server, follow this guide here:
http://liberty-unleashed.co.uk/LUWiki/Server_ManualIf you mean adding a server to your Favorites listing in the client, open it, while under the Favourites tab click Server -> Add Server, and enter in the server's connection info. If the server is listed under the Internet tab, you can alternately right-click on the server of your choice and choose "Add To Favourites". Then it will be listed under the "Favourites" tab in your client.