ssh-client : download from http://downloads.its.psu.edu/, there follow the link "Connecting to Penn State" and then "File Transfer".
vpn download from : https://www.work.psu.edu/access/vpn/
VNC-view : follow this link vnc-viewer
Start --> All Programs --> Internet Applications --> Communications --> SSH Secure Shell xyz --> Secure Shell Client
After your first usage you will find a direct link to "Secure Shell Client" in your Start Menu as a welcome shortcut
Either way, the SSH window will pop up.
Images and instructions missing
There are two steps you have to perform in sequence.