Ontology: OWL - Creating connections between classes

a bit late, but:

You can also go to the tabs menu and active the object properties tab (Window> Tabs -> Object Properties )

Then you can create your own object property and assign its domain and range to which ever classes you want ( Description area of the individual property ).

The simplest way to do this is to use an annotation property. In Protégé, select the class you want to relate to another class, then click the + beside "Annotations" in the Annotations tab. Then add the has_Relation property with the second button on the top left of the window. Then select the Entity IRI tab and the Classes subtab, select the other class you want to relate to and you're done.

However, you should rather not do this if has_Relation is an object property or a datatype property. If such is the case, you can use "punning", that is, you can make new individuals in the Individuals tab with the same names as the classes you want to relate. Then you relate them as if they were normal individuals. Note that this is allowed and valid in OWL 2 DL.