Okies I just got the newest Blender version which is the 2.79 and it shows that the options are all differently
In order to make my modelings very smooth I need both the subsurf and the set smooth but I couldn’t find it anywhere although I still have the older 2.49 version
Here is the screenshot of the monkey as an example
If you’re still trying to become familiar with interface changes after 2.49, I highly recommend you go through the Blender manual. For fast reference, here’s the page on the Subdivision Surface modifier and here is the page on Smooth Shading.