How to connect to a third-party application:
On the website of the application you want to connect, find the button/link asking you to connect your Twitter account (usually "Connect to Twitter" or something similar).
You'll be routed to a Twitter website asking you to log in to your account. Check that it's secure by verifying the URL starts with https://twitter.com.
After logging in, Twitter will ask you to approve the application.
Be sure to review the various permissions you are granting to the application. These are listed in green (what the app can do with your account) and red (what the app can't do).
Click Authorize app if you'd like to connect.
You're now connected! Review your authorized applications to remove/revoke access anytime.