First we need to install the appropriate drivers found here.

Then we need to install MongoDB Connector for BI found here.

The executable for the connector needs to be running any time we need to connect to the database. The path for the connector executable is "C:\Program Files\MongoDB\Connector for BI\2.1\bin\mongosqld.exe".

Once the above steps are completed we can use the "Open SQL Connection" action and build the connection string.

Watch the attached video for the detailed procedure on how to create the connection string.