I am trying to create a Shortcut for ftp.

This is what the help is telling me to do.

When I go to File, my look in box has no arrow or options to add/modify
Why?
This is what in help

"Before you can add an FTP (FTP: A communication protocol that makes it
possible for a user to transfer files between remote locations on a network.
This protocol also allows users to use FTP commands, such as listing files
and folders, to work with files on a remote location.) site to the list in
FTP Locations, you must have access to the Internet or to an intranet.

On the File menu, click Open.
In the Look in box, click the arrow, and then click FTP Locations.
Double-click Add/Modify FTP Locations.
In the Name of FTP site box, type the FTP site name; for example, type:
ftp.samples.microsoft.com.
Do one of the following:
If you want to log on to an FTP site that allows anonymous log on, under Log
on as, click Anonymous.
If you want to log on to an FTP site that you have user privileges for,
under Log on as, click User, and then type your password in the Password box.
Click Add.
Click OK."