1) I assume you have SAS installed on the mainframe.
2) SAS Integration Technologies have to be installed and configured on any server, including a mainframe, that you wish to connect to with EG.
3) If you have SAS MetaData Server and you are using that to provide EG with its metadata repository, the world is a whole lot different.
4) If you do not, then you can use the SAS Enterprise Guide Explorer on the "Tools" menu, assuming the remote server has SAS/IT installed and configured.
Given 4:
Open the explorer and create a new Server, providing the wizard/dialog box with all the appropriate information. When done, waza, you can access it with EG.
If you have SAS MetaData Server, and are using it for the metadata repository for EG, then you have to use the SAS Management Console to create a new SAS Server (SAS Application Server, Logical SAS Workspace Server) under the Server Manager. There is a lot of hidden stuff in this method, and the documentation is more obscure, so here you would need help from an experienced trained SAS Administrator and SAS Technical Support.