erm, you have to install the nxserver as well..
and then do some importing of keys from the server into your client.
Bear in mind that nxserver and nxclient are the reverse terminology of X server and client. e.g. in X, the server is the output display (your windows computer), and the client is the application (on the linux box) that you want presented on the display. With nx, the nxserver runs on the Linux machine, and the nxclient is what you use for connecting, just like Remote Desktop Client, tsclient, vnc client, Citrix ICA client etc.
best to follow the installation guide or some howto.