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Turn your Playstation 3 or Xbox 360 on and insert the Call of Duty 4 disk. Select the "Multiplayer" option at the bottom of the main menu. Select the "Play Online" option. Select either the "Find Game" option or "Private Match" option to begin playing online. Select your character and begin playing.
The game will execute automatically.  This will prompt a sign on screen for the Playstation Network. The Xbox 360 is automatically connected to the network when the console is turned on. If you do not currently have a membership with the Playstation Network or Xbox Live.