If the App is up and running, you will be able to see the Authentise icon on your System Tray.
OS X System tray:
Windows System tray:
To get your connection code, just click Get connection code on the App menu and it will be automatically copied on you clipboard. Now you can paste it with Ctrl+X in the code field in the widget to proceed.
Here's a tip to run Authentise App:
On Windows, press the Windows key + F and start typing Authentise (within Apps)On Mac, press the Command + Space Bar (Spotlight shortcut) and start typing Authentise.