Click on New and fill in the Connected App Name, Contact Email, and Callback URL.
Enable the OAuth Settings and grant full access.
Click Save. The Connected App will be created. Click Continue to view the Consumer Key and Consumer Secret.
Navigate to Setup → Administer → Manage Apps → Connected Apps.
Click on the newly created Connected App. Relax IP restictions under OAuth Policies > IP Relaxation.
Click Save.
Enter Salesforce credentials in the Cloud Security Plus console
Click on the Settings tab
Select the Cloud Type as Salesforce.
Enter a Display name in the given box.
Enter the username, password, client ID (Consumer Key), and client secret (Consumer Secret) in the given fields to enable Cloud Security Plus to start collecting logs.