First you need to check what kind of authentication is required for accessing your sharepoint data service. If no authentication is required, you should be able to use "None" for Security as Russel suggested and be able to connect.
But it the service requires windows authentication, then you need to specify the domain username and password.
My guess is that DOMAIN\username should work.
Here is a good article on MSDN that explains odata and windows authentictaion
Hope this helps!