Hi there JR the kid,
Thanks for reaching out to us here in Apple Support Communities! We understand you lost the connection between your Windows PC and new MacBook Air while using Migration Assistant. We're glad you're here, and we can help.
To begin, where are you seeing that the devices lost their connection? Is there an error appearing on-screen? You'll want to try the steps in the 'If you have issues moving your data' section of the related article linked in blue at the top left corner of this page.
Let us know what you find, and we'll take a closer look from there.
Cheers!