I'm just confused about the fact that the words have to be connected by particles?
In Japanese, instead of thinking the function of particles is not to connect words, it is better to think of them as providing the role for the preceding word. In 友達がパンを犬に上げた "the friend gave the bread to the dog", を indicates that the bread was given, に that the dog was given to, and が that the friend gave.
Particles can be omitted, or replaced by pauses, in casual speech when it is relatively unambiguous. 友達、犬にパン上げた.
However... 何で is an adverb. Adverbs do not get particles. We already know what role adverbs play in a sentence - adverbial. 今日 "today", 速く "fast", 何で "why" are all adverbs, and as such they have no use for particles.
(There are adverbial phrases that are made by using non-adverbs - these do take particles to indicate adverbial usage, typically に, sometimes と. For example, 静かに "silently" from "silent" + に, 犬みたいに "like a dog", ボスに言われたら通りに "just as he was told to do by his boss".)