store message from kafka to hdfs
I didn't get how to connect it with my python script

Kafka Connect is written in Java, so you cannot integrate with Python. If the documentation could be more clear on this, you should let somebody know. 
That being said, it does have a REST API. You would use requests or urllib.request to interact with it from Python, just as any other HTTP service

You could also use PySpark / Flink / Beam to transfer data from Kafka to HDFS in Python
I'm using confluent-Kafka with python.
I want to connect Kafka to Hdfs and store some particular data direct in Hdfs.
I found the confluent HDFS connector, but I didn't get how to connect it with my python script.
any idea ? or any alternative methods to store messages directly from Kafka to Hdfs?