You must first create a Connection for the target service.
Connections are setup at organisation level and thus apply to all connectors that you create in the organisation account.
Ensure you are logged in as an administrator in your organisation account on the secure website, then go to Your Account -> Connections.
In the Connections page, use the 'Add Connection' button on the right hand top of the page to select your desired service to connect to.
You will need to enter various authentication details and other configurations depending on what external system you are connecting to.
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.