When you're a Stowaway, the first thing the wizard asks you to do is connect your Discord account. Linking Discord lets Lighthouse assign you the right roles on the server automatically and enables Discord DM notifications for things like ticket replies and announcements.
Click Connect Discord and you'll be taken to Discord's authorization page. Once you authorize the connection, you'll be brought straight back to your Dashboard -- the wizard will detect your linked account and move you to the next step automatically. There's nothing else you need to do.
For a detailed walkthrough of the linking process itself, see Linking Your Discord Account.
If a parent or guardian has turned off Discord access for your account, the wizard will show you a message explaining that. Just click Continue to move past this step -- your Lighthouse account setup can still be completed without Discord.
You don't have to link Discord right now. Click Skip for now and the wizard will move on to the waiting step. You can always link your Discord account later from your Settings.
Once you've connected Discord (or skipped it), the wizard shows the waiting card while staff reviews your account. See Waiting for Approval to know what to expect next.