Connecting edges

Is there any way to connect the edges of a square to the edges of a circle?
Or maybe change the shape of one face so I can connect the edges?

Your question is vague.
F makes a face between two selected edges
W / Bridge Edge Loops will fill multiple faces at once

Or enable the Loop Tools addon and use its Bridge function

Spacebar - Convex Hull on two selected loops. Tbh, LoopTools is better.