Hi Harshal,
Before executing the command, make sure a connection is established with the database by clicking on the button below (Step 2.).
To show a list of connections, you would have needed to login to the instance on the left hand side (Step 1.). After you have logged on, when you click the button (Step 2.), you would see the option available in the list of connections.
Once this has been done, where it is underlined 'No connection to database', it should change to the connected server details.
Kind Regards,
Nick Lakasas