You don't need to "connect" your pen.
With drawing tablets and their pens, as long as you using a pen that is compatible with your tablet, then the pen should automatically start working when you bring it within around 10mm of the surface of your drawing tablet.
There is no specific connection or pairing step required unlike a Bluetooth device.
For example: Apple Pens and most Microsoft Surface pens - These pens use Bluetooth.
So, you'll have to enable Bluetooth on your computer than follow the instructions for the specific device you have.