...and click it to open the Customisations interface.
From there, select the Wardrobe tab. There will be a number of buttons allowing you to toggle the type of outfit piece you want to see (torso, feet, head, etc), toggle owned/unowned items, keepsaked items, and so on.
You should easily enough find the Privateer outfit, click it and your character will 'preview wear' it. To activate it, click 'Apply,' then you can click out of the interface and your character should be wearing the outfit, though it won't appear in certain places such as those where PvP is enabled