Does everything have to be turned off when connecting. Mostly the computer, If it is running (booted up) when I connect, will the ECM he harmed. I thought I read that somewhere but cant find it now.
If you're careful, it'll be fine. The biggest danger is static or a voltage surge, so make sure you touch something grounded (metal) before messing with the cables.
The ECM and computer are pretty well protected from normal use.