Well you're almost there.

Start BOINCmgr.exe
Open Interface
If Simple View, hit the "Add Project" button
If Advanced View, select Advance Menu and 'Add Project' at bottom
Type www.worldcommunitygrid.org **
Tick the Existing Member box
Enter the same user id you just made the post under
Enter same password as used to log into WCG
Presto

** with 5.10 there will be a list of projects just to select from.

If this does not work go to Message Tab and select about 10/15 lines around the line that tells you are not attached, hit copy button at left and post them here and tell us same time what operating system and BOINC version.