I think this is the process you need to follow:
1) Log in to your SE account
2) Click Select Service (bottom of the menu list on the left)
3) Click FFXI
4) Click Add new PlayOnline service account (the white button below the more obvious blue "Add a Service Account" one at the top right of the page)
I've not done this myself as I had pre-existing POL accounts but that white button seems send you to where you can do what you need, the page you get sent to starts with this text:
Please read and confirm the following details about joining PlayOnline.
Notice for Users Registering PlayOnline / FINAL FANTASY XI Accounts
Please disregard the account registration directions provided in the FINAL FANTASY XI manual as they were created prior to the implementation of the Square Enix ID system.
To register for PlayOnline / FINAL FANTASY XI, you will need to register your registration code of the game as a "Service Account" on your Square Enix Account.
Hope this helps. Edited, Apr 10th 2012 5:53am by Kragorn