Most hardware stores offer connector kits and they come in two sizes: stoves and dryers. The dryer connectors are smaller and labeled for dryers.  There should be a threaded pipe coming out of the rear of the dryer that goes through to the front where the pipe connects to the burner assembly. The connector goes between the gas pipe in or on the wall and the pipe in the dryer. 

Find a U-tube video to familiarize yourself with the installation process.