When you configured your Pentaho Server, you defined the connection information, including where the data is stored and what protocol or driver to use to connect to it. Configure Pentaho Systems shows you how to change or add connection information.
To create a data source, just pick one of the connections that you have already defined, then use the wizard's interactive data modeling tool to select tables and columns to drag onto the model canvas. You can then use the Data Source Model Editor to refine the model further.
Eventually, you might want to add more security, localization, or make other advanced modifications to your model. To do that, export the initial model created with the Data Source wizard, and import it into either Metadata Editor for relational data models and Schema Workbench for multidimensional data models.