In Select Data Source dialog, you choose the database engine which you want to use for opening your data source and the data source like a folder with data files (e.g. .dbf or .csv), multi-table database file [Pro, Enterprise], ODBC DSN [Pro, Enterprise], ADO connection string [Enterprise] etc.
Some database types can be opened by different database engines. For example, Oracle databases can be opened by FD [Enterprise], ADO, or BDE. We recommend to use FD whenever possible, but you might want to try different engines and compare which is better for your work.