[...]
>
> In documentation there is venus-setup mentioned which should do this, but I 
> don't have (or can't find) it in my distribution (Debian).
You should probably try:

clog <your_user>@<your_server>

and you should see /coda/<your_server/

>
> I was believing that venus-setup edits /etc/coda/venus.conf - but I can't 
> find anything about server or server address in there.
>
In principal you need not change anything there - although a default realm 
might be useful.

You could set a realm in /etc/coda/realms, which is then nothing but an 
alias for your server, if there is only one.

Regards,
Michael