You have the old version of the dimension wizard. This is most likely because the install didn’t complete correctly. This is very consistant behavior with the installer, so please read this carefully, as it is strange.
When you install FRx to say “C:\FRx6.7”, it installs correctly there.
When you run SP10 or SP11 to update FRx, it will find your FRx directory, and then for some reason goes one directory deeper to “Report Manager” and tries to install/update to “C:\FRx6.7\Report Manager”. Change this path to C:\FRx6.7 and the update should work correctly. Then the dimension wizard will let you choose a database, etc.