Um, I'm going to paste together some separate bits of code, but hopefully this covers it:

        public Connection OpenConnection()
        {
            try
            {
                if (_K2ClientConnection == null)
                {
                    _K2ClientConnection = new Connection();

                    ConnectionSetup connSetup = new ConnectionSetup();

                    connSetup.ConnectionString = _connectionStringProvider.ClientConnectionString;

                    // open a K2 connection
                    _K2ClientConnection.Open(connSetup);
                }

                return _K2ClientConnection;
            }
            catch (Exception ex)
            {
                throw ex;
            }
        }

        public Worklist GetWorklist()
        {
            Connection conn = OpenConnection();

            Worklist list = conn.OpenWorklist();

            return list;
        }

And then to do something with the worklist it looks something like:

            Worklist wl = GetWorklist();

            foreach (WorklistItem item in wl)
            {
                //Do whatever
            }