As we are on the subject, if you want something small (but still has some great features), consider putty. (Google for it. I forget the URL off the top of my head

) Its small, and a bit complicated if you don't know what your doing, but great as its only >300K. If space doesn't matter, something like Gmud, Zmud, or Simple MU would work much better.
But lets also fix your telnet problem.
You could have one of many problems. I'm assuming your using a Windows based machine (someone with MAC experiences is going to have to help you if your using a MAC).
Click Start>Run.
Type telnet and hit enter.
A black box should pop up.
Type "o mud.shatteredkingdoms.org 1996" (without the "" of course).
This should be your basic connection to SK. Telnet is really crappy way to play, but it is as least a start.
If you cannot connect, you will need to check your firewall/proxy settings and be sure they allow telnet traffic. If everything seems OK, be sure to try back after a few minutes. You may have caught SK in the middle of a crash/reboot. A useful tool which is becomming forgotten is IRC. SK has an IRC channel. (Server:Darkmyst - Channel: Shatteredkingdoms). Its a little inactive as of late, but thats a great way to get help if you can connect to IRC.
Hope that helps and welcome to Shatteredkingdoms!
sleeper