I'm receiving a "User Rejected" message when trying to connect a wallet for the first time

In this scenario, please ensure you explicitly add the Etherlink network to your wallet application's list of networks. Navigate to your wallet's list of networks, add a new custom network, and enter the following information where prompted:
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Network Name: Etherlink Mainnet
RPC URL: https://node.mainnet.etherlink.com
Chain ID: 42793
Currency/Symbol: XTZ
Block Explorer: https://explorer.etherlink.com

Reference: https://docs.etherlink.com/get-started/network-information/