Be Online at the same time, and RetroShare will automatically connect you!
Your client needs to find the RetroShare Network before it can make connections. This takes 5-30 minutes the first time you startup RetroShare
The DHT indicator (in the Status Bar) turns Green when it can make connections.

After a couple of minutes, the NAT indicator (also in the Status Bar) switch to Yellow or Green.

If it remains Red, then you have a Nasty Firewall, that RetroShare struggles to connect through.

Look in the Further Help section for more advice about connecting.