DHT11 needs three connections: ground, 5 volt power, and data. I'm using the DHT11 that is included in a cheap 37-in-1 sensor collection. It has the 3 signals clearly marked.

There are a few ways of connecting the DHT11 - here I just jammed the three small wires into the Arduino's sockets.

You can see they're connected to:

GND (black)

+5V (red)

A0 (yellow)

That's all the DHT11 needs - quite minimal. The manufacturer claims that it works fine with wires up to 20 feet long.