And a thorough description of the problem / question:
I’d like to connect to SonarCloud, but when I click in “Connect to the online service” it opens the project in SonarCloud and I don’t know what to do.
Welcome to the community! This Connect to the online service link is a bit misleading, we are already aware of that. You need to click on the radio button next to SonarCloud then click on the Next button at the bottom and continue with the setup.
You can find here how to connect to SonarQube, it is the same for SonarCloud except the step I mentioned above.