You must first create a Connection for the target service. Connections are set up at organization level and thus apply to all connectors that you create in the organization account. Ensure you are logged in as an administrator in your organization account on the secure website and then go to Connected Data -> Connections.
In the Connections page, use the "Add Connection" button on the right-hand top of the page to select your desired service to which to connect. You will need to enter various authentication details and other configurations depending on the external system to which you are connecting. Once you have a working Connection for the desired service, you can then go ahead and create connectors via the Screens and Data Sources areas.
See also:
Adding Data Connections