You have to connect the debugger (preferably a JLINK debugger) using SWDIO and SWDCLK. The debugger also requires a voltage reference to VDD, usually called VREF. Also remember to connect GND.
(In the title you wrote "nrf52840 dk". The nRF52840 DK has an onboard debugger, so no need for an extra one. If you want to use an external debugger there is a header called "debug in". You can connect the debugger to this header using a standard 10-pin SWD connector.)
