http://www.programmingforfuture.com/2010/06/using-hypersql-hsqldb.html
That's the page you get to by going to the HSQLDB page, clicking on "How To", "User Guides", "Getting Started".
http://hsqldb.org/doc/2.0/guide/running-chapt.html#running_connecting-sect
This time, it's "Documentation", "HyperSQL User Guide", "Connecting to a Database Server". Reading through this leads me to look at the API, especially the JDBCConnection class.
So back to "Documentation", this time selection "JavaDoc" and location the JDBCConnection class on the left.
Now that should definitely be enough to help you on your way. I don't want to see any more questions without saying you "can't" without an indication of what you have tried. Like I said before,
you should ShowSomeEffort. I mean, the ZIP file contains folders like "doc", "sample" and "/src/org/hsqldb/sample". I bet you haven't even checked those out.