How does one set up a dedicated server connection?

When you configure your database to use Shared Server (previously called Multi-threaded server or MTS), all client requests are handed off to one of the shared server processes by the listener, via a dispatcher. If you want certain clients to use a dedicated server process, you need to set the dedicated server option in your database connect string: ie.

SQLPLUS SCOTT/TIGER@(DESCRIPTION=(ADDRESS_LIST=(ADDRESS=(PROTOCOL=TCP)(PORT=1521)
(NODE=yourServerName)))(CONNECT_DATA=(SID=yourSid)(SERVER=DEDICATED)))

You can also edit your TNSNAMES.ORA file and add the (SERVER=DEDICATED) part in the CONNECT_DATA list or simply set USE_DEDICATED_SERVER=ON in your SQLNET.ORA file.