A "Connected App" is an application that can connect to salesforce.com over Identity and Data APIs. Connected Apps use the standard OAuth 2.0 protocol to authenticate, provide Single Sign-On, and acquire access tokens for use with Salesforce APIs. In addition to the standard OAuth capabilities supported by the existing Remote Apps feature (which Connected Apps is designed to replace), Connected Apps add additional levels of control, allowing administrators explicit control over who can use the application, and various security policies to be enforced by the application.
Look for Connected Apps in your development environment by going to Setup > Create > Apps. This will present a screen similar to that shown in Figure 1.
Connected Apps is located below the standard Apps pane. Click New next to Connected Apps, and create your Connected App.