You must configure a Connection to every database that you want to access - whether it is to search for sensitive data (using the Discovery feature) or to mask data.
This can be achieved by either:
1) Clicking on the database with a plus sign icon in the toolbar
2) Selecting the Menu item 'Database -> Add Database Connection...'
This will display the 'Add Database Connection' dialog as shown below:
You then select the type of database (e.g. Oracle, SQL Server, etc) to which you are connecting.
If you are connecting to Oracle then you must specify the schema (owner) name. If you are connecting to SQL Server then you should specify the database name.
You will then be shown the 'Connection' window which will display a form for the remaining necessary connection parameters according to the type of data location that you selected (e.g. Oracle, SQL Server, etc). Each of these is described in its respective page in this Connection chapter.