1. Download and install Private Shell (pshell.exe) from http://www.privateshell.com/download/

2. Launch Private Shell Autoconfiguration Wizard from the "Start" menu:

   

3. Press the "Next" button a couple of times and then select the "Terminal connection with password authentication" item:

   

4. Enter your server's domain name or IP in the "Server name or IP address" field, leave the port number with default value (22) and click the "Next" button.

   

5. Enter your login in the "Your user name" field and press the "Next" button:

   

6. Private Shell Autoconfiguration Wizard generates a profile name for you in the form "yourlogin@yourdomain" which is good in most cases. Nevertheless you can enter another name for the profile if you want. Then press the "Next" button:

   

7. Click on the "Test connection" anchor to launch Private Shell with this profile and test the connection:

   

8. You should get a warning like this:

   

   What does it mean and what should you answer?

   Short Answer: Press "OK" and forget about it.

   Long Answer: This is Private Shell telling you that it has never connected to this server before, and it wants to know if you trust the connection. The server has sent you its "key" which is used to decrypt and encrypt information that you exchange with the server. You almost certainly do trust the connection, and if you press "OK" Private Shell will store the key and never ask you this question again. If you pressed "Yes" and it does ask you this question at some latter time, while making this connection, there is a possibility that someone is trying to intercept your password. That isn't very likely though, and you most likely will not have to worry about it. If you are asked this question again, check and see if anything has changed about the connection (maybe the server HAS changed its key for a good reason or maybe you are trying to connect to a different machine than you thought). If you have tried it a couple of times and keep getting warnings about the key, and you suspect maybe someone IS trying to intercept your password, you should inform the helpdesk.
   If you press "Cancel" Private Shell terminates the connection since you do not trust to this server.
   Cryptography is complicated! If you would like to understand it better, you could try starting here: http://www.ssh.com/tech/crypto/intro.cfm

   After accepting the host key you will be prompted to enter your password. Enter it and press the "OK" button.

   

9. The regular Private Shell terminal window becomes active. Now you can work with your server!

10. Return back to the Wizard and press the "Next" button. Here you can choose to create shortcuts on the Desktop or in the "Start" menu which will launch Private Shell and make it connected to this server.

Please, refer to the full Private Shell manual to get know more about such useful SSH features like tunnelling, data compression, etc. and very useful Private Shell features like key mapping, secure ftp client, key agent, etc. at http://www.privateshell.com/docs/