Use the serial cable HP 82222A (included in the Connectivity Pack) and the modem adapter plug (included in the Serial Cable Adapter kit, HP 82224A) to connect the HP 95LX to your modem. See the I/O Application Note included in the HP 95LX package for more details.
You will need to disable hardware handshaking on the modem. The HP 95LX only supports software handshaking. Check with the modem manufacturer for instructions on disabling hardware handshaking. (See modem article, page 14 this issue, for more information.)