$A=\left \{ \left ( x,\frac{1}{x}\right );1\leq x\leq 2 \right \}$
I proved that $A$ is a closed and bounded subset of $\mathbb{R}^2$, then it's compact (correct ?)
And is $A$ connected because it's homeomorphic to a closed interval ? If yes how would I prove it ?
Yes, you are correct. More precisely, define
$$f: [1,2] \to \mathbb{R}^2: x \mapsto \left(x, \frac{1}{x}\right)$$
Then clearly $f$ is continuous. Since $[1,2]$ is compact and connected, so is the continuous image $A= f([1,2])$.