How do I connect to a DeX?

I'm curious about connecting to a DeX, or decentralized exchange. Can you walk me through the process? I'm new to this and want to make sure I'm doing it right. Do I need to download a specific app or software? Are there any security measures I should take to protect my funds? And how do I know which DeX is the best for me to use? I'd appreciate any guidance you can provide.