So you need to know how to connect?  Well, if you haven't been onto a private server before, you will need to start by creating an account here.  After you have done so, you need to access your "realmlist" folder, which is in your World of Warcraft folder, located in your C drive.  You will need to change "us.logon.worldofwarcraft.com" to "vengeancewow.servegame.org".  It will need to look like this:

set realmlist vengeancewow.servegame.org
set patchlist us.patchlist.worldofwarcraft.com

The patchlist does not need to be messed with.  Also, to get back onto retail, you just need to put "us.logon.worldofwarcraft.com" back where is was.