A manual comes with it, or should have.
It should just connect when you start it up because it goes to some static servers and gets some starting IP's. Give it a minute. You probably did and it's working fine now.

If not, you may have to tweak your firewall a bit, if you have one on. You need to open port 6346 or whatever port you have it set to use.

More info on the main web site too.