You will set it under the interface that connects to your ISP (most likely the serial interface).
Connect to the console port or telnet to your router, enter privileged exec mode and enter configuration mode . Then switch to your interface and enter - or whatever address and subnet mask are appropriate.
Remember, with the serial interface one end is the DCE and needs to set the clock speed. Then enter the command to bring the interface up. You can take a look at it with and etc.
If you are using static routing or just a path of last resort, you'll need to set up your routes. If you're using a routing protocol, make sure to enable it - for example, if you elect to use RIP, then at the configuration prompt, enter . This command varies slightly between the different protocols.
I would HIGHLY recommend you get a copy of Sybex's CCNA study guide. It is concise and offers alot of information. The version that comes packaged with the "e-trainer" is great. I used it as my primary study tool when getting my CCNA.
Good luck...hope this helps! If you get stuck, let us know and we'll help more.