I assume that  <a href="http://mathoverflow.net/users/80965/imranal"> imranal </a>    asks  how to  find numerically a geodesic connecting two given points if the  connection is given. 
One way to do it  is to implement the solution of the ODE system he wrote in his question numerically (there are many effective ways for it) and then use this implimintation  to find the correct initial velocity vector $(u', v')$  such that the geodesic starting from $(u, v)$ in the direction $(u', v')$ hits the second point.  One can  slighly improve this search but the principle remains the same. 

Alternative method  which actually needs that the connection you have comes from a Riemannian metric 
would be to use the curve shortening flow: start with any curve connecting these two points (say, a straight line)  and then
 start to deform  the curve  such that the velocity vector of the deformation is orthogonal to the velocity vector of the curve and its length is    the  geodesic curvature times some fixed function which vanishes at the first and  last points of the curve. 
This deformation  should  normally converge to a geodesic. 

I expect that there should be  effective implimentation of this  idea as a numerical scheme but I am not an expert in these questions. 

Of course geodesic does not always exist  (as explained  by Igor) and   may be is not unique (as explained by Narasimham) or/and the second procedure may converge to a geodesic which is not a minimal one.