From the main connection screen select 'More...' under 'To a server' and select Web Data Connect from the list.
In order to connect Tableau with WC you need to add an URL. But how can I find the URL in the example above?
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A web data connector is just a webpage. That webpage must be hosted somewhere and as a result, it will have a URL. I don't know what your URL is, where are you hosting it?
In your screenshot it looks like you're accessing localhost:8888 with a Connector URL below that, maybe you need to append that to the URL.
You're obviously using a sample pack though, I'd suggest consulting the documentation.