CKFinder comes with built-in API to easily integrate it with FCKeditor. Check the "_samples" folder for specific examples of it.
To instead configure FCKeditor manually to use CKFinder, just edit the fckconfig.js file in the FCKeditor directory and modify the following settings:
FCKConfig.LinkBrowserURL = '/ckfinder/ckfinder.html' ;
FCKConfig.ImageBrowserURL = '/ckfinder/ckfinder.html?type=Images' ;
FCKConfig.FlashBrowserURL = '/ckfinder/ckfinder.html?type=Flash' ;
FCKConfig.LinkUploadURL = '/ckfinder/core/connector/{{{ext}}}/connector.{{{ext}}}?command=QuickUpload&type=Files' ;
FCKConfig.ImageUploadURL = '/ckfinder/core/connector/{{{ext}}}/connector.{{{ext}}}?command=QuickUpload&type=Images' ;
FCKConfig.FlashUploadURL = '/ckfinder/core/connector/{{{ext}}}/connector.{{{ext}}}?command=QuickUpload&type=Flash' ;
Just change "/ckfinder/" in the above URLs if you have CKFinder installed in a different place.