you are on the right track but one step to far...
You have to configure a Connection type first. You can find this when you select your Data Connection. There will be a new Action available which is named "New Connection Type". Here you have to define which columns you want to see later in the Import mapping. After you fill out everything correct, you can move to Data Import and you will see a business object with all the attributes/columns from your excel file.
Hope it helps
Thanks. I didn't see that part. After you guided me back to the Data Connection, I saw the option to add the Connection Type.