Hi,
Basically Connections are similar to relationships except for that fact that you do not need to create a relationship manually between the two connecting entities. Also, the primary reason behind using Connections is to defines roles while connecting two
entities. Say for example you want to "Connect" an Account to a Contact and you want the connection to be more meaningful; like say you want the Account to be connected to the Contact as an Employer and the Contact being the Employee. In such cases, you can
use the Connection feature of Dynamics CRM.
Have a look here to know in depth about Connections :
http://msdn.microsoft.com/en-in/library/gg328381.aspx
To create a Connection, you can visit Entities and go to Connections from their Navigation Bar and relate other Entities with them.
Admin QuikView Solution for CRM 2013