The video you linked to in your comment has been shot with Excel 2007, so it is about software that is 10 years behind what you are using. It was published three years ago. Things have changed since then.
Yahoo Finance API is no longer a free service. They shut down the service earlier this year and you can no longer pull data from it with Excel.
Apart from that, if you run the most recent versions of Excel 2016, the icon to import text or CSV will now start the Get & Transform functionality, also known as Power Query, not the old text import wizard. The dialogs that you see are from Get & Transform, asking you to authenticate for the URL you entered. If you have a user name and password, enter it and the connection will be made.
If you want to use the old text import wizard, you need to go File > Options > Data and tick the box for "From Text (Legacy)".

Then you can use the drop-down option for Legacy Wizards in the Get Data dialog of Get & Transform.

But I doubt that this will work, since Yahoo Finance has shut down the service.