If you are treating your server as a headless device (i.e. stopped at the vista-like Welcome screen) there is a client CD disk image that you can download and burn for the initial setup.
If you went through the setup steps directly on your server, including assigning a name, console password, etc. then Philip has provided you an answer, or you can use a web browser to access your server at this URL:
http://server:55000 (replacing
server with the name you gave your server) and install the connector software that way.
I'm not on the WHS team, I just post a lot. :)