Step 1:
Get a Metro-North train from New Haven to New York-Grand Central Terminal.

Step 2 (option!)
Option 1 - Walk west along 42nd Street from Park Avenue (this would be approximately "4th Avenue" if it was numbered) to 7th Avenue. Times Square.
Option 2 - Take the (S) shuttle train from Grand Central to Times Square. They're the only two stops on the whole line, so it's impossible to get it wrong. Fare is $2.25, pay by MetroCard.

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My two cents - I say just walk it on a nice day, maybe walk through Bryant Park along the way (42nd St between 5th and 6th Aves) and take some photos there. It's nice. Bring some sandwiches and have a picnic.