After you have clicked on "New project", a new window will appear.
You can now create, manage and choose a data connection that you will be using in your new project. Click the "Go to Query" button or switch to the "Query" tab in order to proceed to the Project. Read more in Data Connections.
It is possible to edit the list later on, but it might cause compatibility issues. Read more in Working with Multiple Datasets.
Edit
Click "Connect" in order to choose data connections to work with. You can edit existing data connections and create new ones. Then select a data connection and click "Go to Query."
