If you have a company open and it is not connected to QuickBooks then you can select this from the menu to initiate the connections. It will then attempt to connect to the QuickBooks Company that is specified on the Company Information window.
The Connect to QuickBooks and Close QuickBooks Connection features can be used so that you do not have to close SherWare completely if you want to temporarily work in a different QuickBooks file. You can simply close the connection, change companies, then connect again once the respective QuickBooks company is open again.