This is a game we chose to practice because it incorporates a couple of different cues! Because of this, it would probably be easier if your horse learns a couple of things before playing:
1) You will want your horse to understand some type of targeting game, to make it easier to learn the concept of Connect
2) It might make it easier if your horse can side pass towards you. This is not necessary, and in some cases this game might even be a way to teach your horse how to side pass towards you however if you run into problems learning to play this game, that might be something to try instead!
The main idea of this game is to have your horse stay beside you with their shoulder in light contact with your hand. You should be able to maintain this contact at all gaits and directions with enough practice! Start by accustoming your horse to your light hand contact while walking with them. Click when you touch, and reward. Then you can move on to actually showing them the concept. You can start this at a standstill or at a walk, whichever is easiest for your horse. Hold your hand just inches away from your horse's shoulder. Encourage movement into your hand, and help them out at first! You can even just go straight for the contact without them moving at all in the beginning. Then click and reward for each touch. It shouldn't take long for them to realize that when their shoulder touches your hand, they are rewarded.
At this point it might be a good idea to pause and teach your horse a cue for sending them out and away from you if they do not know one already!
Here is a video on how to teach The Connect Game: