We are assuming you have already installed Connect using NuGet or the classic method and have created your connector.  Your Dynamics Connector should appear similar to the below screen capture.

Once you have created your Dynamics Connector, the next step is to configure how the Connector connects to Dynamics.

The yellow box has all the information to setup the authentication for Dynamics CRM 365. 

The following setup steps assume you are an Administrator of your Azure Active Directory and Dynamics 365 accounts.