Windows XP Users:
If you want to connect directly to the server without having to head through the regular NWN screens, there's a way and it's easy to do.
1) Open you Neverwinter install directory (ex. C:\Program Files\Neverwinter Nights)
2) Find the file called nwmain (if you can see the extensions it's nwmain.exe)
3) Create a Shortcut of that file
-To create a shortcut, right click on the file, then click on "Create Shortcut"
4) Move that shortcut to your desktop (or where ever you want to access it most easily)
5) Right-Click on the new shortcut and go to properties
On the top you will see three tabs, General, Shortcut, and Compatibility. You want the Shortcut tab.
6) Under "Target" under the shortcut tab you will see a path to where the nwmain file is located. (ex C:\Games\NWN\nwmain.exe) After the .exe part, you are going to add a little more for a quick connection. Add "+connect IPADDRESS:5121" without quote marks after the path. It will look like this: C:\Games\NWN\nwmain.exe +connect IPADDRESS:5121 or something to that effect. Every computer can be different depending on where you installed Neverwinter.
7) After adding +connect IPADDRESS:5121 click Apply and then OK. Try out your new shortcut and it should send you right to the server. Well done!