With the add points tool, left click hold and drag out a line and release. Repeat to add to the line or make a curve. You're probably better off starting a new layer and deleting the old path layer with all those un-connected points.
Jonbo,
Good stuff...THX. After getting rid of the original Follow Path layer and starting over with your latest instructions, I've got my first animated character walking along a path
Cheers,
Bob G.