Diagnosis
You have to create the MYSELF destination and connect it as BWsource system.

Procedure
Use Configuration of RFC Connections (transaction SM59) to createthe MYSELF destination.
Use the Data Warehousing Workbench (transaction RSA1) underModelling -> Source Systems -> BI to connect theMYSELF destination as BW source system.
Ensure the connection is active.
For more information about the MYSELF connection, see SAP Note538052. It is especially important not to use the trusted connectionthat you have already created.