The click is most likely a relay. Do you know how the spindle is controlled? I am not familiar with the model. Have you typed an M3 code into the MDI line? If so what happened? Try M3 S5000 (Should turn the spindle on, clockwise direction of rotation and a requested speed of 5000 rpm)
I did look on their website, oddly enough they dont want you to see a manual for their machine.