In order to use Jira and Confluence together,
STEP1. You will need to setup Application Link at Confluence: <Jira base url>/plugins/servlet/applinks/listApplicationLinks
The menu is actually located at "Administration" like below
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And the actual screen will be like below

STEP2. You will need to put your Jira server URL. Once everything is okay, you will see its status as
.
STEP3. You will need to setup Application Link at Jira: <Confluence base url>/plugins/servlet/applinks/listApplicationLinks

STEP4. You will need to put your Confluence server URL. Once everything is okay, you will see its status as
.