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If the Server to which you connect doesn't belong to any domain, after you click the Connect button in the authorization window, a message will be displayed.
To connect to the Server, you must either create a new domain based on the Server or add the Server to an existing domain.
If you choose the first option, click Apply in the message and follow the instructions given in Creating a new domain. For the second option, click the button and follow the instructions given in Adding a Server to an existing Domain.