They're not inherently related, but Democrats are using the government shutdown as leverage to try to get a DACA deal passed. Trump is actually in favor passing a DACA deal, but he's using the ending of DACA as leverage to get funding for his Wall (as well as ending "chain migration" and ending the Diversity Visa Lottery Program).
So here's what each side basically wants:
Democrats: DACA deal, no Wall but possibly other border security, and no shutdown.
Trump: DACA deal, a Wall, and no shutdown.
The two sides are using their leverage and threatening outcomes they don't want in order to try and get their preferred outcome. It's a game of chicken.