What version of Microsoft Office do you have installed? I assume, that it is MS Office/Excel 2016, as we have seen this issue with that version. Please note, that the last tested and supported version of Microsoft Excel is MS Office 2010!
In order to connect simply hit the 'Enter/Return' key which is the default action for this dialog box.
See also https://support.ca.com/us/knowledge-base-articles.TEC1519235.html.
Please let me know, if that answers your questions.