wires used to cost copper now they dont sfter 1.3 they are resource free
the "connect wire" button and "jump" button are the same, so you need to be postioned right to get the wire rather than jump.
highlight the generator or pylon/switch etc and you should see "attach wire" option (in same area as the "scrap", "select" etc options), you need to see this to use a wire otherwise your character will jump instead.
once you click you should have a wire grabbed, it will be attached to whatever you started with, then you need to drag it to the other generator/pylon/switch/etc you wish to attach it to. when it is connected (it will kinda snap to that item) you need to push the button again to place it
it should be highlighted white if you can, if it is highlighted red you cant. usually you cant becasue you are trying to connect 2 things that are too far away from each other, or the wire is clipping through something.