The equivalence classes $[x]_\sim \subseteq M$ are called the connected components of $M$; they are in a loose sense the "largest connected pieces" of $M$. Notice that \[M = \bigcup_{x \in M} [x]_\sim,\] that is, $M$ is the union of its connected components. Also, since $\sim$ is an equivalence relation, the connected components of $M$ are disjoint. Since every point of $M$ is in some connected component, it is easy to check that a non-empty space $M$ is connected if and only if it has precisely one connected component.
To give a few examples, the connected components of $\Z$ are the sets $\set{k}$ for each $k \in \Z$, and the connected components of $\Q$ are the sets $\set{q}$ for each $q \in \Q$. The connected components of $[0, 1) \cup \set{4} \cup (6, 9)$ are $[0, 1)$, $\set4$, and $(6,9)$. The circle $\set{(x, y) \in \R^2 \mid x^2 + y^2 = 1}$ has one connected component, itself; the same is true of any connected set. The empty set has no connected components (since in our definition, the empty set is not connected; we defined it this way so that we could unambiguously list the connected components of a set).
The equivalence classes $[x]_{\sim_p} \subseteq M$ are called path components of $M$. If $M$ has exactly one path component, it is called path connected. (Note that $\emptyset$ is not path connected: it has zero path components, not one.)
Suppose that $E \subseteq \R^n$ is open. Show that the path components of $E$ are open (in $\R^n$).
(If you find it useful, you may use without proof the fact that functions of the form \begin{align*}f : \R &\longrightarrow \R^n \\ t &\longmapsto \vec{a} + t\vec{b}\end{align*} are continuous, where $\vec{a}, \vec{b} \in \R^n$.)
It is not true that connected sets are path connected in general. Consider, for example, the set \[T = \set{(0, y) \mid -1 \leq y \leq 1} \cup \set{\paren{x, \sin\paren{\frac1x}} \mid x \gt 0} \subseteq \R^2.\] It can be shown that while $T$ is connected, the two pieces above are distinct path components of $T$.
Here are some further problems to think about out of interest. You do not need to attempt them, nor should you submit them with the assignment.