SSAS supports 2 types of data models, Tabular and Multi-Dimensional. The article you have linked is for a Tabular model, the screen shot you have posted is for a multi-dimensional model.
One way to create a new relationships in multi-dimensional you would just drag a column from one table and drop it onto the column you want to relate it to in the other table. From memory I think it's best to drag the column from the "many" side of the relationship and drop it onto the "one" side.