First, navigate to the campaign where you'd like to connect the WooCommerce integration, then click "Integrations" from the menu on the left side of the screen.
Click on WooCommerce in the list of available integrations.
Then click Connect New Account.
You'll then need to enter your WooCommerce website's URL, API Key, and API Secret.
These are generated from within your WooCommerce plugin in WordPress. See here for information on exactly where to find these in your WooCommerce plugin.
Once you've entered those details, click Save.