This unmissable story achievement unlocks quite early on in the game. After the opening mission, you'll return to Psychonauts HQ and eventually have to attend class. Hollis' classroom introduces you to the Mental Connection power. After you've chosen where to map it, you'll be guided through a level that requires you to make extensive use of the power.
After navigating out of the initial area, you'll enter and then almost immediately have to exit a vehicle. You'll fight a new enemy type, the Bad Idea, which you'll want to use Mental Connection to get close to and melee attack. After completing a short platforming segment, you'll find your way into a church-like area with multiple ideas to make connections between.
Once you've forged a new connection between 'Money' and 'Risk' you'll unlock the achievement.