Before you can use Connections, you have to set the Connection Types. These are the bidirectional descriptors that describe the connection. Any connection has a reciprocal type.
Make sure the types exist for the connection that you intend.
Now that the Types are set, connections can be made. Go to the Contact and, assuming you want to add a contact connection, add it.
Search for the contact that you want, select it, (or more than one), to connect and set the connection type, and set Connect.:
Then the connection is made.
Lot Connections work the same way.