What does pejorative connotation mean?
Pejorative means negative.
If a word has pejorative connotation, it has some negative meaning.
For example let's take different words which can be used to describe a woman:
word woman does not imply anything except basic information; it is a neutral word.
word lady means someone polite, good-looking; it adds some positive connotation
word hag means an ugly, old woman; it adds negative information so it is a pejorative word.