Do you mean connect by USB cable?
Connect using remote App?
Connect using home share
To connect using home sharing in Settings Music, Scroll down and enter your apple id details
Do the same on your computer from the top menu (Ctrl B to show in windows)
File > Home Sharing > Create Home share
Enter the same apple id as on your phone.
You can now play the computer music on your phone
Music, More, Shared and choose your computer library
To connect the remote app
In the app click on the cog top right and turn Home Sharing on. Enter the same credentials as before
Now you should be able to control your computer playing music through the remote app