To get to the Connection Manager you can right click the icon in the tray (by the clock) and then select "Connection Manager". You can also right click the medium icons at the bottom of the buddy list (in the default skin) and then click "Connection Manager".
To add a connection, click the "Add" button on the Connection Manager. Pick a medium from the box that drops down.
Enter your account into the Login ID or Username box.
Next, enter the password and click "Create and Connect".
If you add multiple accounts and want to keep the buddy lists from being merged, use the "Advanced" tab. From the advanced tab you can designate a different area in your buddy list to store that connections buddies. Use the dropdown box to select existing sections, or add a new one to the box.
Once you have entered all of your information the account will appear on the main Connection Manager window. It will be there whenever you want to connect to it unless you remove it.