How to connect STM32 with DAC?
From the data sheet of DAC:


  Data is written to the AD5761/ AD5721  in a 24
  -bit word format  via a 4
  -wire  digital interfac e that is serial peripheral interface  (SPI ) compatible . The devices also offer  an SDO pin to facilitate  daisy
  -chaining  and  readback.


One would need to connect SPIx_MOSI, SPIx_MISO, SPIx_NSS (chip select) and SPIx_SCK. depending on other functional requirements any of the multiple SPI modules present in MCU can be chosen.

Word of caution i see that the DAC is 5 V device but logical communication (SPI) voltage can be set to variable voltage. Since, the MCU can be operated only upto 3.3 V, please set the value of DVCC of DAC pin to same as VDD pin of MCU. Both should have same supply voltage level.  



JTAG is pretty easy and straight forward:   

New debug connectors for ARM



ALso, refer to the Nucleo boards from ST for some connections (JTAG, especially) you will get a fair idea. It also helps in other interfaces. Read the datasheet too for the features and alternate functions supported.