They're not "connected". They are "searched". You specify where to search with the PATH variable.
Have a look at /etc/profile and your user's .profile to see what PATH is being set to.
Should be something along the lines of:
PATH=/bin:/sbin:/usr/bin (etc...)
export PATH
(or export PATH=... as a shortcut)
Basically you just add each directory to search delimited by colon (
. They will be searched in the order they appear.