Hi, and welcome. Are you trying to set up an internal server? If you are actually just trying to set up Port Forwarding for torrents or such like, have a look at
THIS site. This tutorial is aimed specifically at setting up an internal server, so it is not really applicable.
If you are setting up an internal web server, " point your Windows Remote Desktop Connection client at 192.168.0.2." just means entering this address in your client. "Log into the web interface of the firewall (the "admin", "sky" one)." means opening your router settings and going to the Firewall settings section.