Sorry, that's the way it's done in Win98SE. Only way I know of to get a (sort of) drop-down menu of numbers for a given ISP would be to go ahead and set up multiple dial-up connections, then set up the system so that Network Connections is showing on the Start menu with the multiple dial-ups set to "cascade" from the menu when you pause the cursor over Network Connections.
I'm sorry if my naming conventions are a bit off. It has been a year-and-a-half since I used Win9X. You might need TweakUI to get the menu settings set up right.
- Collin