I just got Pokemon Heartgold and i have no idea how to connect the pokewalker!!?

Read the instruction booklet. Lol you're probably new to Pokemon since you don't know how to put Pokemon in boxes. First, PLAY THE GAME. Get a starter Pokemon, catch more Pokemon, go to the Pokemon Center, and go to the PC, there you can put your Pokemon in a storage system with "boxes". It's so much easier to just read the instruction booklet you know. God, don't people know how to read or are they just lazy now days -_-?