I quit my job last week and my boss states that I must do an exit interview before I can get my last paycheck. I should have been paid on last friday but I did not get paid. Two questions do I have to do the exit interview and when do I have a legal right to pick up my check.

No, you don't HAVE to participate in an exit interview. They're not going to hold a gun to your head.

CT laws require that final wages for an employee who resigns be paid no later than the next regular pay day. Your employer cannot hold your paycheck beyond that day for any reason.

I quit Last Wendesday, and my next payday would have been that following Friday Does that mean I should have been able to get my last check already?

Yes. Your check should have been available for you on Friday, if that was the next regular payday after the last day of work.

Generally speaking, the "next regularly scheduled pay day" is interpreted in payroll circles as the pay check for the pay period that includes the employee's final day of work. What was the pay period ending for the check that you got last Friday? And what was your last day of work?