Before using Speed Dial you need to create a speed dial list. To do this choose Actions/Dial Phone/Speed Dial/Edit... from the main menu. This will bring up the Edit Speed Dial List dialog where you can set up your speed dial list.
Once your speed dial list is set up, you can dial any number on your list from any of the Dialing related menu commands. These include the Actions/Dial Phone/Speed Dial menu from the main window, the Speed Dial menu from the system tray, or the Dial Phone/Speed Dial menu that appears when you right mouse click in the main window.