I've heard so many different accounts of people first realizing their connection to their Spirit Guides that all I can surmise is that it is truly a personal experience.
However, that being said, there are a few comonalities. First, it does seem to be easier in an awake, but meditative or prayerful state. Quieting the mind and silencing the constant chatter that bounces around inside our skulls is essential for us to hear our guides. Therefore, a meditative state that has eliminated that background noise allows us to tune in to the connection.
Secondly, many people think that the messages they are getting are just their own imagination or that they are talking to themselves. Many people I've known have said they never Journeyed or connected with their Guides, but in reality they had been since they were kids. They just thought the ideas, images and messages that popped up in their "minds" was just that - in their minds. They were wrong.
Your guide(s) have been with you you entire life communicating with you and trying to help, direct, support and protect you since before you were actually born. You've never NOT had them talking to you. Therefore, it is easy to believe that what you experience as "thought" is nothing more than your own imagination.
The first time I connected with my Guide, it was like striking up a conversation with someone who'd always been right there but that I just never overtly acknowledged. There was no sense of, "Oh, there's a new presence," or "My...I've never seen/heard/felt you before." It was simply me acknowleding him and asking, "Who are you?"
That first encounter was 18 years ago and we've had a great relationship since.
If I could offer any advice, it would be to first learn how to quiet your mind. Then, once you've succeeded at that, allow yourself to trust that what you're hearing, feeling, and seeing, are less the products of your own imagination and more the result of you actually "listening" to your Guide(s).
Of course, you may just get a big 'ole slap upside your spiritual head that says, "HELLO! What took you so long??" Guides do have a sense of humor.