Ha! Well, it's 5 a.m. here, so let's hope that this makes sense:

Connotation, to me is an implied secondary meaning in addition to the direct meaning. And I'd better be right, because that's the way I've always used it and I'd look a right idiot if I've got it wrong, huh?

"Wordwind went to the shop. The connotation of that is that she needed to buy some groceries."

Denote, on the other hand, is the primary meaning - "The stars on the New Zealand flag denote the Southern Cross."

HTH