The groups window is the one you get first when starting Krn. Here is where you do things related to groups as a whole, as well as manage the connection to your news server.
This button connects to your server. It is also available from the File menu.
This one disconnects from your server. It is also available from the File menu.
You may change your server's name by using the Options->NNTP Options menu. Also there you can change other things like if your server needs a username or a password.