In a telecommunication system comprising a telephone exchange (LE), an access node (AN) connected to the telephone exchange via a standard V5 interface and a data network (DN), a procedure for setting up a direct data connection between the access node and the data network from a terminal device. According to the invention, a data network subscriber is created in the access node (AN), and when the data network subscriber starts call setup, this is not signalled to the local exchange (LE) according to the normal V5 practice. The data network subscriber's call setup request is handled locally in the access node, where also a dial tone is generated for the data network subscriber. A data connection between the data network subscriber and the data network is set up directly from the access node on the basis of the dialing given by the data network subscriber.