well you can probably set it up in some gui tool, but you've not said which distro you are using, so i don't know which one you have...
the real way to do it is to add it using the route command:
Code:
route add default gw a.b.c.d
or afaik you can survive by just editing the /etc/sysconfig/network file and settings the GATEWAY option to the ip or resolvable hostname of the gateway.
Gateway in Linux
thnx alot 
