In general, you use Dynamics AX Configuration Utility to configure connection to AX. If open AX client with a specific configuration (.axc file), you have to open this file and modify this file. If you don't, you'll work with the default configuration in the utility. I suggest you ask your admin to teach you basics. If it's not possible, you'll have to do some self-study. Fortunately there is a plenty of information online, such as Manage a client configuration [AX 2012] on Technet.
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