To connect nine dots in a square with one line, draw a zigzag line through the square. One must literally think outside the box with this puzzle, and draw lines that extend past the outer edge.
Connecting nine dots, laid out in a three-by-three grid, with one line might seem like an impossible task. This is because one's brain does not grasp the abstract concept of drawing outside the box. Starting at the upper left dot, one connects the top three dots. Extending the line well past the last dot on that row allows a person to bring the line to the second row without lifting the pencil. The third row is connected in the same manner.