STEP 1 - Get the manual for the device you want to connect and read it. Either the paper manual it came with or the online version of it.
STEP 2 - Find the instructions in the manual for putting the device into Pairing mode, and verify that it is in pairing mode. It may say the word "Pairing" or similar, or it may display a special light color or pattern, but the manual for STEP 1 should explain that. If the device has been previously paired you may have to factory reset it first. Again, that information and how to do it will be in the manual.
STEP 3 - Within 30 seconds of putting the device into Pairing mode go to Settings/Bluetooth on your phone. The device should appear. Tap Connect.