There are literally dozens of ways to log in to SQL Server, depending on how the security has been set up. When you add the complexity of user developed front ends, the number of ways to log in goes into the tens of thousands.
Considering only Microsoft's Query Analyzer, I can go for the short list. Keep in mind that if your configuration requires C2 hardware tokens, you must have them recognized BEFORE you can launch Query Analyzer in C2 mode.
1. In a simple, Windows authenticated and AD managed configuration, you double click the Query Analyzer icon and you're done. Nothing more is needed.
2. In a conventional Windows Authenticated configuration, double click query analyser, then enter or select your server name and press Ok.
3. In a SQL Authenticated configuration, enter your server, login name, and password, then click Ok.
4. In any of the "developer" configurations, contact the appropriate developer. These choices are endless!
You really need to discuss this whole process in more detail with the administrator(s) of the SQL Server you are trying to access. Depending on how they've configured SQL Server's security, there could be lots of issues preventing you from connecting, some of which have nothing at all to do with security!