How to set up a new APP in Mautic for getting connection keys?

Please refer to the APP setup section of the connect page in the plugin. You will find a link to the APP setup and from there you can follow the steps to set up a new APP in mautic.
You can also visit the URL for setup the mautic  and get the connection key (https://docs.makewebbetter.com/mautic-woocommerce-integration-app-setup-guide/)