Copy the sample TCP/IP procedure from the hlq.SEZAINST(TCPIPROC) to your system or recognized PROCLIB, such as SYS1.PROCLIB, and modify it to suit your local configuration.
For example:
set //PROFILE DD to TCPIP.CONFIG(PROFILE)
set //SYSTCPD DD to TCPIP.CONFIG(TCPDATA)
set the RESOLVER_CONFIG environment variable to TCPIP.CONFIG(TCPDATA)
For more information, please see section 'Configuration Files for the TCP/IP Stack' in the IP Configuration Guide.