Well, I know how you feel. My dd just turned 4 and we still do not have her trained yet. In fact, I posted this exact same question myself this time last year here, lol! We have tried everything thinkable and she still is unable to make the connection. Altho, she has made the transition from diapers to pull-ups and will occasionally go before getting in the bath/shower if she is naked. So, my plans are to get her trained this summer by the "letting her be naked from the waist down" method, lol! We will see.
I am no help for you, but just wanted to let you know to hang in there, it'll happen one day.
Oh, and BTW, her developemental preschool teachers didn't think it was any big deal that she wasn't trained yet. They told me not to push her as it would create an anxiety issue for her towards going in the potty.