If you are a Data Steward for your organization or are otherwise authorized to manage its data resources, you will have a Connection manager tile on your organization's home page. The Connection manager is your tool for creating and managing virtual connections to your organization's data. These connections are used to create datasets:

When you select Connection manager you will see a list of your organization's current virtual connections to your different data sources:

The Manage button takes you to the configuration page for the indicated data source where you can make changes to the existing connection. To make changes to a connection you will need the authentication information for the original connection:

The +New connection button on the Connection manager page takes you to the list of database connectors for which we have integrations:

From there you can choose a new data source or create an additional connection to a source you already use.
For more information on creating connections, see the Connecting to your data section in Create and manage data access of our documentation.