Depends on what you're doing. Make sure you have at least Java SE v6.x or newer installed. If you're clicking the play button on the website, it should open a window to download the client, some time will pass, and the game should lauch. If Java isn't configured properly, you'll need to manually open the haven.jnlp file downloaded with the program "javaws.exe" which will be in the folder you installed Java in.
Or, you could download and use Ender's client found here:
viewtopic.php?f=27&t=14575. Download the proper version for your OS and the update file. Extract the zip file (I just stuck it on my desktop) and then unzip the update file to the same location (and overwrite the files). The client for Haven hasn't really been updated much since it first came out and is entirely too limited to effectively play the game.
Opinions expressed in this statement are the authors alone and in no way reflect on the game development values of the actual developers.