How to connect faces between 2 edge loops? I'm trying to fill empty space in my mesh, and I looked at the knife tool page on the Blender Wiki, and I'm not sure if there's a way to make it so that a new edge is made using the knife tool. I took a screenshot, and hopefully it'll explain better than I can of what I'm trying to do. Oh and I'm using Blender version 2.71, by the way.
In your particular situation, it looks like the bridge tool is what you want. Select two or more edge loops with AltShiftRMB, and then connect them with W&gt;Bridge Edge Loops:

Fill
To do exactly what it looks like you are trying to do in your screenshot (connecting two vertices with an edge), select the two vertices and press F to create edge/face.

If you have the bundled F2 addon enabled you can create a new face from the selected edge and the surrounding vertices by pressing F again. The side on which the new face is created is controlled by the cursor position.
Knife
The knife tool is for cutting edges into existing faces: