GDI is a generic target connection interface, it is not a connection interface on its own.
That's why its no longer listed in the "Set Connection" dialog. The good news is that gdi it still is supported (its actually used to connect to some of the listed connections).
I have to admit that I dont know how this dialog is filled in V4.5, but there is still the command line to set the target.
In the command window, just enter "set gdi", and and it will behave as if you did choose gdi in V3.1.
Daniel