Follow the instructions below appropriate for the type of OS and Cayenne distribution that you have:
CayenneModeler.app comes as a part of the Mac distribution and is located at the root of the disk image.
Windows distribution of Cayenne contains CayenneModeler.exe file in the bin directory. To start the Modeler doubleclick this file. Note that you still need a JDK version 1.4 or newer installed to be able to run the Modeler.
CayenneModeler.jar is a runnable jar that can be executed with JDK 1.5 or newer: