Im trying to connect to a frient but both of us get this -
VST Connect Somebody tries to connect to you But uses an incompatible version
Does anyone have a step by step guide on how to use this?
Andy
You need to make sure that both ends use the latest version.
I have the same issue, with Cubase Pro 10.5.12 Build 123 (on PC) and today’s download for VST performer.
IS this download link corrupted ? It seems that the actual download link gets to Version 2.0.40 
Actual link from : La créativité d'abord | Steinberg
is :
You can still download older versions from :
Mac
September 23, 2019
Mac OS X 10.11 · macOS 10.12 · 10.13 · 10.14 · 10.15
Windows
September 23, 2019
Windows 7 · Windows 8 · Windows 10
VST Connect Performer 4.0.30 · Pre-release* · 27 MB
Still the same “Incompatible version” with Mac
Performer : 4.0.30.230 (Public Beta)
with Cubase 10.5.12 Build 123
VST Connect : 4.0.10.12
“Incompatible Version”… 
Please Help !
yes, you need to install 4.0.30 for Cubase as well. Install the PRO version, it will also update the SE version.