There are a number of different options, depending on what you want to achieve, and how the printer is attached.
If the printer is attached locally (or via a network) to your PC and you want to print to it from the AS/400 then you can, indeed, connect it via Client Access. To do this, the printer must be defined within Windows on your PC (Start, Printers and Faxes).
From the Start menu, select All Programs, IBM AS400 Client Access Express, Emulator, Start or Configure Session. A "Configure PC5250" dialog box will be displayed.
In the Workstation Name field, key in the name you want to give the printer on the AS400. For emulation type click on the Printer radio button.
Click on the Setup button and select the option to Transform to ASCII on the AS400, that then allows you to select the printer type to use for the transformation.
Click on OK/Apply until the configure screen disappears and you are left with an emulated printer front panel. Now use the File menu in the emulator window and use the Printer Setup and Page Setup options to tell Client Access which printer you want to use and also how to format the page, etc.
When done, save the confiuration definition so you can use it again. An output queue wil have been created on the AS400, move a spool file to it and you should see it print.
Note, that defining a printer emulation session in Client Access means that you have to have the PC and Client Access running to use the printer. Alternative options would be to use an LPD server (I use one from SDI that works really well and seems to be more stable than Client Access) or to connect the printer directly to the network and configure it on the AS400 as a remote printer.
If you need any further details on the other options, let me know.