You don't connect them. You install the game CD and it automaticly asks you for your live gamertag. You insert it, it applies an update to your CPU and adds the dashboard and everything.
After the update, you can play freely on your CPU. You can only be online on your PC or your 360, not both at the same time.
Hope this answers.
88% overall achievement completion for 160+ games.
Broke 100k on February 5th, 2008
[#] x360a member of the 100k club. (10th inductee) [#]