There is no direct or immediate connection because the Cold War did not start until decades after the Scramble for Africa and because Russia was not involved in the scramble. However, the colonization of Africa did certainly have an impact on the Cold War.
During the first decade or two of the Cold War, most African countries were still colonies of Western European nations. The Africans, however, were starting to want their independence. The Soviet Union saw this as a chance to hurt the West. Therefore, the Soviets tended to support rebel groups that were trying to become independent. The West, of course, resisted these attempts. After independence came, there were often civil wars in which the West and the communists supported rival factions.
So, the connection is indirect. The scramble led to colonization. The colonization led to a desire for independence. The Cold War led the Soviets to support groups that were trying to become independent.