Ok... on the home page for the forums there is a download section. You have to download KRO and Sak. You can get them from a server, or via bit torrent. once you have them you need to install them, and then let them update. Then you can install HeRO client into that folder.
Private servers use eathena to emulate the game. So if you don't have the game itself, then the private server's not going to work.