If this is the first time you are launching the FOX client you will be prompt with the following window:

You will need to insert your SQL Server instance hosting FOX, in the combo box, or you can select one from the list retrieved on the current PC.

Usually you don't need further configuration. 

If you have to setup manually the connection you can click on the "Advanced >>" link.

If you need to change the Database connection after the first run, you can performed via the Environment tab. This functionality is restricted to authorized users, i.e. users with administration rights.

In the main menu, click on "Environment" and then on "Database".