Salesforce Connector Problem

[m0v08wo]

Dear Power BI community,
I am trying to connect to Salesforce using standard Salesforce Objects connector.

When the connection window opens, I select "Use custom Domain" and add the address.

But, instead of logging me in, in the logging window it opens the Salesforce page, and nothing happens next.

I can browse the website in this window, but it doesn't go away to let me in. Once I close the window it gives me an error "You're unable to connect".

The issue is that the logging window must disappear once it logs me in but not remain as the browsing window. 
Please help. 
Thank you very much.