Hi snoopy.
The NXS files store the connection settings, and you can find them (by default) in your Documents folder under the NoMachine directory.
If you can’t find them there (or if you want to change the default location) click on the Change player settings button in the NoMachine GUI and read the field Connections.
To create a new NXS file you just need to create a new connection: all settings will be set to their default values so we’ll know if your problem is related to a wrong key.