Although I have never used DAX, looking at the screenshot, seems like you are attempting to use your windows credential to connect to windows rather than database as I see windows selected on the left pane. Also with that option selected, unless you are on the same domain as host, not sure if it is going to work with your windows credential. Were you give any username and password? If so, you might want to select Database on left side pane and try the username/password you were given.