You can't create the API credentials for AvantLink yourself: they come from AvantLink. Request them before you start connecting.
Before you connect
Contact AvantLink and ask for an API key. You'll also need your Merchant ID.
Connect the data source
In Funnel, go to Data sources and add AvantLink.
Enter your API key, Merchant ID and currency.
Finish the connection.
Common problems
The credentials are rejected: check that you're using the API credentials from AvantLink, not your normal login, and that they were copied without extra spaces. If they still fail, ask AvantLink to confirm the credentials are active.
See AvantLink: Dimensions and metrics for the data available.