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The process of connecting a Java file with a JFrame involves the following steps:

1. Create a new JFrame object: Instantiate a new JFrame object by extending the JFrame class and creating a new constructor.

2. Define the layout: Use the layout manager to define the placement of components within the JFrame.

3. Add components: Add components to the JFrame by creating new instances of them and placing them in the appropriate location in the layout.

4. Set JFrame parameters: Set various parameters for the JFrame, such as size, title, and visibility.

5. Instantiate the JFrame: Call the setDefaultCloseOperation method to specify how the application should exit, and then create a new instance of the JFrame object.

6. Show the JFrame: Call the setVisible method to make the JFrame visible to the user.

7. Compile and run the program: Compile the Java file and run the program to test the functionality of the JFrame.