You need to have the appropriate account, depending on which Monster Hunter client you downloaded. I recommend downloading the Korean Monster Hunter Frontier version. It's free, as opposed to the Japanese client.
But if you want to play the Korean version, you have to make an account with hangame. Once you login to the Korean Monster Hunter Frontier website with your hangame account, you can download the latest client and play from there.
EDIT: here's a helpful link for getting MHF -->