In other game editors, all you have to do is drag the sectors together to make them connect. In JED, you must either line them up perfectly and hit the "A" button, Overlap them and hit "J" or you can select one of the sectors walls and hit "X".
1. Hitting "A" will cause them to adjoin.
2. Hitting "J" will make jed automatically carve the sectors to match each other and then join them.
3. Hitting "X" will cause the wall you have selected to be extruded. Thus creating a new sector.
If you need anymore help, don't be shy. I'm board and I like helping.