Ensure you have downloaded the APP and that your Bluetooth is turned on in the settings menu. You then need to turn on the APP and create an account. Once an account is created you will be sent an email verification. Ensure your email is verified. Once you verify you can login and finish the set up process. Try sending a demo message to the toy.
If you still have trouble connecting, you can restart the connection process by holding both of your CloudPets paws together and squeezing both buttons, while turning the device off, then back on. You should then be able to restart the device setup process.