The normal “connection dialogue” is accessed by clicking “Connections -> Connect” in the upper left corner.
The dialogue looks something like this (I marked the checkbox):
If you are using a bookmark then you are connecting by clicking an entry of the “Bookmarks”-tab (right next to Connections).
In this case you need to click on “Bookmarks -> Manage Bookmarks” and edit the corresponding Bookmark for your server like so (checkbox is marked again):
