Go this page for instructions for setting up your Golgi Profile. Checking to make sure that everything is set up correctly will save you much aggravation.
Run “Xwin32” from the Start Menu. An “X” will appear in the icon tray on the taskbar. Run “F-Secure SSH Client” from the Start menu. In the F-Secure window, select profiles→Golgi. Enter your Golgi password.
Note that on Linux/Unix systems, capitalization matters! Make sure that you correctly capitalize directory and file names.