The issue is likely the permalink setup. I suspect that you have
index.php as part of your permalink configuration. Go to the WordPress Permalinks settings admin page and remove
index.php from the permalink setup. After you do Connections will work fine and your will have more SEO friendly links. If you do not have
index.php in your permalinks structure then your configuration of Apache and mod_rewrite is probably incorrect, that I would have no idea how to fix since that is not my area of expertise.
Hope that helps!