There are two downloads that have to be installed in order to connect your WHS 2011 and your Windows Phone. The first one is the actual add-in for your WHS 2011 system:
The Windows Server® Solutions Phone Connector add-in enables you to connect to your home, business, or storage server by using your Windows Phone 7 phone. This installation package provides the Windows Server Solutions Phone Connector server component for integration of Windows Phone 7 into Windows Home Server 2011, Windows Small Business Server 2011 Essentials, and Windows Storage Server 2008 R2 Essentials. The Windows Server Solutions Phone Connector add-in is a standard add-in package (*.wssx). After completing the integration of your Windows Phone 7 phone into a Windows Server Solutions server, you can use your phone to perform remote server management tasks such as view alerts, manage users, and start and stop backups. In addition, with appropriate permissions, you can use your phone to view or access media files that are stored on the server.
There is no interface or settings on the server side with the add-in. It just enables the connectivity for the WP7 app.
The second piece to install is the Windows Phone 7 app called My Home Server. You can find it in the marketplace right on your phone by searching for my home server or you can download it with your Zune software.
Once you have both pieces installed you can set up the app on your Windows Phone 7 to access your WHS 2011 server and see things such as alerts, backup statuses and stream videos, pictures and music to your phone from your server.
Here is a look at the WP7 app courtesy of Microsoft. Find more information on the add-in and app at the Windows Server Solutions Phone Connector Add-in page at Microsoft TechNet.