As I understand, you already are in the desktop session. Please see the quote below.
Unity is the default Desktop Environment used in 11.04. Where systems are not ready for Unity they revert to Gnome which is also used in previous releases such as Ubuntu 10.04 LTS (Lucid), see next sub-section.
The easiest way to open the Terminal is to use the 'search' function on the dash. Or you can click on the 'More Apps' button, click on the 'See more results' by the installed section, and find it in that list of applications. A third way, available after you click on the 'More Apps' button, is to go to the search bar, and see that the far right end of it says 'All Applications'. You then click on that, and you'll see the full list. Then you can go to Accessories > Terminal after that. So, the methods in Unity are:
Dash -> Search for Terminal
Dash -> More Apps -> 'See More Results' -> Terminal
Dash -> More Apps -> Accessories -> Terminal
Keyboard Shortcut: Ctl + Alt + T
Gnome is the Classic Desktop Environment for Ubuntu 11.04 (Natty) and is the default DE in earlier releases, such as Ubuntu 10.04 LTS (Lucid).
Applications menu -> Accessories -> Terminal.