What exactly are you trying to connect?
An Arduino Uno?
You need Ardupilot installed on the board (through the firmware tab) before mission planner can connect to the MavLink stream.
If you want to use an Arduino UNO, you will have to write your own code to control your car. No version of Ardupilot/Ardurover will run on an Arduino UNO. Pure remote control over the telemtry modules is not that hard to do. Controlling with a GPS is harder to do and you will have to use softserial, since the UNO has only one hardware UART.
If you google/search for “arduino controlled rc car” or similar, you will get plenty of results. Or have a look at Blynk on Android. I once build a remote controlled vehicle controlled with this app.