To connect (more commonly said as join) is to cast on and join the two ends so you're knitting in the round, in a circle. No seams that way.
To join you need to first lay your knitting flat with the needle that has the working yarn coming from it on the right side. Then make sure yor stitches are all laying flat and the cable with the loops on it is at the top. Now pick up both ends and start knitting. You can see that when you put the right needle into the stitch on the left needle and wrap the yarn it will connect them. Make sure you're knitting on the outside of the circle. It will look like this picture.
Now just keep knitting the the rows. No need to purl unless your pattern tells you to. When you are knitting in he round you don't knit on the back so plain knitting creates stockinette.