At first I thought this was going to be an easy question. Most laptops have a very obvious phone socket, usually in the back.
Sometimes things aren't so obvious.
It appears that the Dell Latitude CPi does not have a built-in modem, and it's the modem that you need to connect to a phone line.
The Dell Support web site does a good job of providing information about their various computers. In this case, here are images of the front and back of the machine. And here are the specs on the machine.
In a case like this, you'll need to purchase either a PC Card modem (inserts into the PC Card slot in your laptop), or an external modem (which would connect via a cable to the serial connector in the back of your laptop.)