I'm guessing that it involves making a Diplomacy Trade, but I've never seen an AI empire requesting that I accept a trade route from their end. I tried simply building a trade ship, thinking that there would be some kind of "Create Trade Route" panel where you set Point A and Point B. But after creating the trade ships, all I could use them for was scouting.
So, how is it done? Under Governing I see a tab for Trade, with tables to show To and From. There's even a button for terminating a route. But nothing to show how to start a route.