The very first step to set up data integration is to create connection. Connections provide the ability to define and manage connections to Dynamics 365 individual applications. These connections, once defined, are later used during data extraction and import. Connections are stored in a Common Data Service environment. When you create a connection on the PowerApps site, you are not connecting to a specific instance of your target system. This just stores your credentials with a target system. The following screenshot shows the connection details in the PowerApp environment:

To create a new connection, log in to https://web.powerapps.com, select a CDS environment where you have administrative privilege, and simply click on new connection and search for the product you want to connect and authenticate using your credentials. Any connection you create in the CDS environment where you have administrative privilege will be available when setting up integration project.