Well, the first thing you should do, if you weren't prompted already, is click to File -> New World. Select "No", and put in a name for the world file (Achaea probably, or your character's name if you have more than one). For the TCP/IP address, put in "achaea.com" (it'll do a DNS lookup for the IP so you don't have to worry about it), and the port is 23.
That's all you have to do to allow it to connect to Achaea. Click Save, and then click to Connection -> Connect (or do what I do and use ctrl+K).
There's other options you can look through for the world file, like autologin on connect. Just click to Game -> Configure -> All Configuration and click through the list on the left to see what you can set.
EDIT: Also, grats on making the leap from Nexus.

There's a bunch of plugins some of us here have made that can help make your life easier. Trevize, for example, wrote plugins to emulate the Nexus compass and gauges (which were the main reason I couldn't leave Nexus), and I've written a few that you can find in my signature. (My ATCP plugin is incompatible with Trevize's, just FYI, but lucky for you nothing really relies on mine yet anyways).