If you connected your SoundCloud account during the sign-up process then the connection has been automatically created for you and will be shown on your website. You can hide it, or delete it, by heading Content and navigating to the SoundCloud page.
If you didn't connect your SoundCloud during the sign-up process then follow the simple steps below:
Go to Settings > Connections
Connect your accounts by filling in your login details.
After you are connected you now need to make a SoundCloud page for your website's menu.
Go to Content > ADD A PAGE > SOUNDCLOUD > SAVE & CLOSE
Then you can organize your menu as desired. Click Save, and go check out your website!
NOTE: If you are having initial problems with the connection from when you first signed up, then try disconnecting and reconnecting again.