Firstly, all games are connectable...Red with Red, Blue with Blue and Red with Blue. One way to contact people is through the Pelipper Post Office in the central area.
If you fail a mission, you can send a help e-mail out which another player can pick up when they've linked up with you. You can recieve this at the Pelipper Post Office
The recieving player now should go to the dungeon their friend is stuck in and they will see the player stood in his tracks. Use a Revive Mail and send it to your friend and he can continue with the mission. You will recieve a thank you mail when you're done and thus both of you get items and Rescue Force points
Another way to link up is via the Password system again in the Pelipper Post Office and request and receive help if you have no link cable