To connect to Zapper, navigate to https://zapper.fi. At the top right corner of the homepage there is a button labeled Connect Wallet. Click that button to prompt the wallet connection window to pop up. Select your wallet provider, and follow the connection instructions. These instructions typically include some interaction with your wallet, and may be a bit different for each provider.
Example: Metamask asks you to select which of your wallet addresses you want to connect, and then asks you to verify that you do want to connect to Zapper.