Connecting intersections allows routing to happen between two roads. Before you can connect two roads you must make sure they each have a node at the intersection. Both nodes must be of the same coordinates.
GPSmapedit however have a nifty feature that does not require you to check whether both nodes are the same coordinates. It is the Stick to neighbours option under Tools Menu > Options > Edit tab.
This option is checked by default when you first install GPSmapedit. With this option checked, whenever you want to connect two nodes at an intersection it will hilite the node with a red box to confirm that it can be connected.
Connecting nodes require you to use the Edit Points tool. Once you have added the nodes at both polylines near the intersection, click-and-drag the polyline with the end-node to the polyline with the mid-node till a red box appears then release your mouse button. Finally right-click on the nodes (which now have the same coordinates) and choose Connect to Nearest Nodes.
