One of the reason why you don't see the lightning bolt is that your Remote Desktop Manager Main screen is to small. If it's the case you can simply click on the double angle brackets on the right side and select quick connect
If you don't see it just send me a screen shot of your toolbar and I will tell you where it's hidden.
We don't know Mr. Dan Hollings business, so I'll try to help you the best I can but I might not have all of the answers for you.
From what I see in your screen shot you manage to create a new session but you created a Apple Remote Desktop session.
I think what you need is Microsoft Remote Desktop session.
When you select root of your left tab tree you will see the main Dashboard. Click Add Session and select Microsoft Remote Desktop.
That will bring you to the same screen as when you click save session as ... in the video
You'll get this screen where you will be able to enter your client name. the select Microsoft Remote Desktop
You will get this screen where you can enter your IP address (in Computer Name), user and password.
The error you have in your last screen shot means that the security check failed.
This is normally due to a bad password or user name.
Make sure you make no mistake in your user name and password.
Tell me if you need anymore help