Click "Select App", select Jira.
Then select "Create New" to create a new connection with the Jira instance.
Name your connection whatever you like.
Add URL of your Jira instance (without "/" in the end).
Add Login of the admin user, you need to be logged in as one.
Type your password, if it's Jira Server. If it's Jira Cloud, you need to generate Jira Token - go to the step 2.