"connect the dots" is a phrase that means join several connected ideas together. We typically use this phrase when explaining to another person that they need to think a bit deeper about a problem.

To "connect the dots" means to discover a pattern by connecting pieces of information. It refers to a children's puzzle. The puzzles come in printed books. Each puzzle is a page with printed dots on it. Next to each dot there is a number. It is hard to see any pattern in them. The child takes a pencil and draws a straight line from dot #1 to dot #2 to dot #3. The result is an outline of a shape. Here is an example: http://www.ethanham.com/blog/uploaded_images/dots-702567.gif