You need a resistor to +5V, value around 2K (see "Basic temperature sensor" on page 6), and optionally a 10K pot for calibration (see "Calibrated sensor" also on page 6). Or you can do the calibration in software, for example put the sensor in an ice-water bath to find the exact output at 0 degC.
The nominal voltage across the LM335 is 10mv per degree Kelivin, as specified in the datasheet.