Method 1 - Join via Steam
To do this, first open up Steam then on the top bar click "View > Servers".
Now, click on Favourites, change the game to "Conan Exiles" and then enter your server IP and QUERY port (e.g. 126.96.36.199:27015). Your server should then show up.
It is important to note that the IP and Port you enter here is the IP and Port listed next to "Query Info" in the control panel. For Conan Exiles, the query port should begin with "27" (not "77").
Method 2 - Join via Console
You can join your server by entering the IP and Port into the console in-game.
To do this first open up the in-game console by pressing the console key (normally ¬ or ~) and enter:
LocalTravel <Connection Info>
Here is an example:
Pressing enter should join you into the server.