There are two ways of connecting, one is called 'Low level' (or LFE) which is the one described above and suits most peoples purposes. The other is called 'high level' and involves connecting the subwoofer with left and right speaker cables from you front stereo pair.
the second is favoured by some hifi enthusiasts and is suppoed to be better for stereo music listening as the full signal is sent to the sub and you then control the crossover on the sub itself.
On LFE you set the corssover on the sub to maximum or off and control the corssover on your Receiver/Processor. Normally setting all the speakers to small and a crossover around 80hz.
If this is your first venture into subwoofery I would suggest the LFE connection as it seems more popular and quite adequate for most people
