Select (in this order) Play, Multiplayer, Connect, TCP/IP, then CREATE GAME. Select NEW GAME, then roll/import your characters.
Next time you want to play, do the same but select LOAD GAME.
EDIT:
PS. It is perfectly possible to invite your friends into this kind of game to control a character or two for you if so desired.
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It's bleedin dark down here, slippery too.

Man, that's a pisser.
[This message has been edited by Cavern Sniffer (edited 06-15-2001).]