the 'must be connected' is referring to the node (the little green box to the left of 'source'. you have to plug in a component into that node. in the case of getting your image to show, you have to plug in an 'image componet', which can be found over on the right of the editor in the components list under 'external'. just open that part of the component's list and click and drag an image component onto the main part of the editor window. then, on the right or left (depending on how your options are set) click and drag on the little arrow on the side of that component and 'plug' it into that source node. that's the basic operation of all components within the editor. for more detailed help hit F1 for the help section, study the stuff on the wiki pages and use the forums, like you are. there's a TON of good info here.
and welcome to FF!
If wishes were horses... there'd be a whole lot of horse crap to clean up!
Craig