After installing ClassicUO as prompted into your UO directory, you have to set up a few things.

When you launch ClassicUO for the first time you may get this screen. If so, click the cog wheels that are highlighted. Chances are you will not see this screen on first launch.

This is most likely the screen you will see on first launch. You need to create a profile for the client to read from. Click Add on the top left.

Boom! Now, from the main screen click the big PLAY! button.