From main menu go to Window -> Show View -> Other… and select Task List and Task Repository.

Right Click o Task Repository view and select Add Task Repository on context menu.
Select Redmine as shown in the following picture.

Insert your Redmine Server URL and give a Label to the repository.

To make authentication working (thanks again to Alfonso which suggested the solution https://github.com/ljader/redmine-mylyn-plugin/issues/27) username e password are not needed you need to find your API key from your Redmine installation.
In your Redmine, to get the API key, go to My Account and and click on Show link on the right:

Copy your API key

In Add Task Repository configuration window selected Enable on API-Key field paste your key.
Click on Validate Settigs button and click on Finish button.

Eclipse will ask if you want to add a query on the Task List for the repository. Click on Yes button.

Select << Create a new query>> and click Next > button.

For example you can create a query to view all tickets assigned to yourself.

In the following picture you can see that I have created two query (in the picture I removed (thank you GIMP) the title of the tickets after the ticket number)

In the Taks List view you can create a new ticket using the context menu with right click.

all the project field will be shown as in your Redmine installation.

IN SOME CASE YOU CAN GET AUTHENTICATION ERROR. Instead The authentication works but and the ticket is successfully in Redmine, but the creating process inform about a Repository Authentication problem. You can also try to insert your username and password but you will still get authentication error. PLEASE NOTE THAT THE TICKET IS CREATED, SO DOES NOT CLICK ON OK, OTHERWISE THE TICKET IS CREATED ANOTHER TIME AND OVER AGAIN FOR EVERY CLICK.

CLICKING ON CANCEL YOU WILL SEE “Submit Failed: Authentication cancelled”, BUT AS I SAID THE TICKET HAVE BEEN ALREADY CREATED.

In the Task List view you will see in UnSubmitted group the ticket you have tried to create. If you check in your query (if the ticket you have tried to create match it) or if you browse your Redmine you can check if the ticket have been created. In this case you can safely delete the ticket from UnSubmitted list.
That’s all Folk.
References:
http://www.redmine.org/projects/redmine/wiki/HowTo_Mylyn