My recommendation - read up on how OBS Studio works. OBS Studio is powerful and flexible software, therefore naturally a bit complex. Do NOT expect OBS Studio to be intuitive... you will get frustrated. And beware poorly done related education videos on YouTube, lots of bad suggestions out there.
To you specific question
- 2 primary ways to get a camera output to the computer: USB or HDMI out of camera into HDMI capture device (often called 'capture card' for historical reason, but usually a USB device nowadays). For very recent cameras, using USB3, the video resolution can be ok over USB direct from camera. For Canon, there is EOS webcam util. However, Canon, and others, often recommend for older devices using the cameras HDMI out.
In your case, you MUST get the camera video output visible to the Operating System *first*. Simply 'connecting' isn't sufficient.
Then again, are you talking the 20+ year old (or thereabouts) handheld camcorder (not the recent 2019 XA-40?)? If yes, does that onlu have somethign like S-Video and RCA outputs? if yes, how did you connect the camera to PC?
