Connected subsets of a cofinite space

For a set $X$ with its cofinite topology, a subset $S$ is a connected subset exactly when $S$ is empty, a singleton, or infinite. Indeed, its subspace topology is the cofinite topology on $S$: the traces of open sets are precisely $S\setminus F$ for finite $F\subseteq S$, together with the empty set. For infinite $S$, two nonempty open sets intersect, because their complements have finite union. Hence $S$ is a hyperconnected space and therefore a connected space. A finite $S$ has the discrete topology, which admits a separation of a topological space as soon as $S$ has at least two points.

For an infinite set $X$ with its cofinite topology, every infinite subset is connected, but $X\times X$ has an infinite disconnected topological subspace. Choose $a\ne b$ and use $D=\{a,b\}\times X$. The open sets $(X\setminus \{b\})\times X$ and $(X\setminus \{a\})\times X$ have disjoint nonempty traces $\{a\}\times X$ and $\{b\}\times X$ on $D$, covering it. Thus $D$ is a product of a discrete two-point subspace with an infinite cofinite factor. The ambient open rectangles may intersect; only their traces must be disjoint for a separation of $D$.