You have to create the frontend of the Library in the Style Guide. Follow this guide to do it. When you do, the Style Guide icon will appear on the left Powerbar when you are in the Library. If it is displayed as seen in the image below, it means that the Library is connected and you can navigate directly to that Style Guide by clicking on it.

If it does not show or is not connected to the correct Style Guide, you need to connect it by adding the Library frontend in the top navigation of your Style Guide.

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