Start Jira Client. When starting for the first time, use Connection | New Jira Connection menu to set up a connection to your Jira server.
Using with Atlassian OnDemand
The Jira plugin that provides licensing for Jira Client cannot be installed on Jira OnDemand, but you can still use Jira Client desktop application with a per-user or team license from ALM Works (30-day trial is available). See Jira Client Download Page for details.