You can change the settings by right clicking (control-clicking on a Mac) on the "localhost" node in the explorer tree and selecting "Set Connection Properties...". This brings up a d dialog where you can make changes and test them to see if they work.
Entrance allows you to save settings for multiple hosts, and you can choose whether login names and passwords should be saved. Use "Database | Add host..." to add new hosts. The tree displays a green icon for connected servers, and a light blue icon for servers that are not connected.
To connect to a server: select it in the tree, then click the "Connect" tool on the toolbar. In this screenshot, "sam" is connected, and "joe" is not connected:
The last database connected this way becomes the default database used when queries are run.