This will take you to the web interface.
http://support.microsoft.com/newsgroups/default.aspx
On the left, go to Office|Access|Replication
If you are using Outlook Express, the items on the left are newsgroup
you have "subscribed" to or previously visited. At the top of that
list should be the name of the account that you are using these
newsgroups from. Right click that name and choose Newsgroups from the
pop-up menu. This will give you a list of newsgroups available on the
server. Go to the mentioned newsgroup and click the Subscribe button.
This will add the newsgroup to your list on the left.