Proof that $Y$ is not path-connected:
Consider $(x_0,y_0) = (0,0)$ and $(x_1,y_1) = (2,0)$. These are points in $Y$. Let $\gamma(t)$ be a path in $\mathbb{R}^2$ from $(x_0,y_0)$ to $(x_1,y_1)$ ($t$ from $0$ to $1$). Write $\gamma(t) = (x(t),y(t))$ and remark that $y(t)$ is bounded in absolute value, say by an integer $N$. Then $x(t)$ goes from $0$ to $2$. Hence, there exists a $t_0$ such that $x(t_0) = 1/N$. This shows that $\gamma(t_0)$ is not in $Y$.
Proof that $Y$ is connected:
Write $Y$ as $A \cup B$ where the union is disjoint and $A = \{(x,y) \in Y: x \leq 0\}$ and $B = Y - A$. It is easy to show that $A$ and $B$ are path-connected, hence connected. By general topology, the adherence $\bar{B}$ of $B$ in $Y$ is also connected. Hence $A$ and $\bar{B}$ are both connected subspaces which intersect, non-trivially (in the vertical axis). This shows that $Y = A \cup \bar{B}$ is connected.