The setup for online accounts is gone.
http://support.microsoft.com/kb/2118008
You can create an account, but you cannot do the online setup. I don't have the version of Money that you are using, it would seem.
See if you can work offline by disconnecting your internet if Money insists on going online for something.
If you are looking to get broker statements, or credit card statements, there may be an alternative to get transactions.