Check out NSURLConnection docs on the apple site: NSURLConnection
EDIT: added more info.
You need to set up authentication. A quick search of SO produced these results:
NSURLConnection SSL HTTP Basic Auth and
HTTPS with NSURLConnection - NSURLErrorServerCertificateUntrusted
You need to set up your server to handle authentication, then issue a challenge to the device. As you can see in the above posts, there is a function: didReceiveAuthenticationChallenge:
You need to use this to handle authentication challenges. You can get a good idea of how to go about it using the above posts.
Your server needs to be set up to handle authentication, as well. I don't know what language you use with your server, but as I use PHP, here is the PHP manual link on authentication:
PHP authentication
It is a tricky thing to do at first, but once you get into it isn't bad (and creating more https connections comes easily). However, writing out everything you would need to do here is a bit much. If you scope out those posts, you can get a general idea about how to go about it. It'll take some working to get it done.