The most common add-on for connecting your wallet to any platform is Metamask. You can learn more about how to set up a Metamask wallet here.
After connecting your wallet, you’ll need to set up an immutable x key. To set up an Immutable X key, you need to make sure your wallet (like Metamask) is properly connected. Look for your public wallet address and ensure the last few digits match with your wallet.
Once your wallet is connected, you will need to sign approval to create a key. Agree to the terms and conditions and set up your Immutable X key. This is just granting your wallet permission to communicate with a new platform, nothing to worry about.
But always double check to make sure it is not a phishing attempt: check to see all names, domains, and addresses look accurate.