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You'll need (at least) a connection (cable or wireless), that is supported by the PC (assuming you want to connect to a PC, not to yourself) and the hardware.
Although technically connected even if you don't use it, to be useful, you'll also need a way to make the software use it. Like a driver, new or existing.
The question is very broad. You'll get broad answers. Connection a keyboard is different from connecting a SDR, a motor or a nuclear reactor...