Choose the desired connection from the drop-down box.
Click , which will populate the list of layers from the database. Options that affect how this list is populated are described in the help for the new connection dialogue box.
Find the layer you want to add in the list and click on it to select it.
You can select additional layers by holding down the Ctrl key and clicking.
To filter a layer before adding it to the map, either double click on its name or select it and click the button. This will open the Query Builder, allowing you to build up a SQL statement to use in filtering the records.