Missing step in myCloudData demo

So I've set up an account on myCloudData.net, enabled pop-up windows, uncommented the ONLINEDEMO directive, and generated an App Key to paste into the demo app. But when I click "connect" I get a new browser window requesting my credentials that does not go away after I provide them and nothing changes in the demo app's window. What prerequisite am I lacking??

EDIT: Hmm. I may have fallen victim to browser caching. I'll explore further and update this item.

I'm stumped. I switched browsers to FF Dev edition, enabled pop-ups and turned on CORS Everywhere, but I still see the following in the console after entering my account credentials:

Did you set the proper callback URL, i.e. the callback URL to YOUR app (and not our online demo)

??? I'm trying to run your demo app and its instructions say to use its own URL. Is that not right?

When I put in my own app's URL in both the app and on the site, after logging into myCloudData.net, the demo does indeed open to my account's store using the app key from the site. But if I follow this instruction from the demo (with the demo URL in both places and use the app key generated thereby), it does not open:

Make sure to set your myCloudData callback URL to: https://download.tmssoftware.com/tmsweb/demos/tmsweb_myclouddata/ to use the key on this page

What is then meant by "to use the key on this page"?

I'm not sure what you look at where.
In our demo, you can see the callback URL that is needed for the demo app:

Thanks for the screenshot. Evidently, you're looking at a different "demo" than am I. The one I'm referring to came with the latest Web CORE update, here:
"C:\Users\tmpet\AppData\Local\tmssoftware\registered\TMS WEB Core RSXE15\Demos\Services\myClouddata\TMSWeb_myClouddata.dproj"

When I run it, I see a quite different screen that you show:

Note that this one instructs the user to insert what you now tell me is the "wrong" URL. I suspect that it needs to be revised.

Yes, in this demo, to be generic, the callback URL needs to be replaced.
We'll adapt this demo.