Hi,
Which version of SSDT/VS are you using now?
Normally when we click next on the welcome page of New Datasource Wizard, it should show us "Select how to define the connection" page.
In your case, I suspect the vs extension is broken or not well installed. I suggest you uninstall the vs analysis service project in vs- extensions. Then reinstall it.
It should fix the issue.
Regards,
Lukas