Using uDig
Open uDig. The software can be obtained at: http://udig.refractions.net/
Create a new map, or open an existing map to which you would like to add the web service
On the upper menu bar, click Layer > Add…
In the window that appears, click Web Map Server or Web Feature Server, as appropriate; click Next
Paste the service endpoint in the URL field; click Next
In the Resource Selection window that appears, select all layers you wish to add. When you are done, click Finish