There should be another GetUserInfo1 component that does not require a Connection Contect name. It's namespace/classname is Ensemble.Userman.GetUserInfo1 (located on Settings tab in Edit Component).
If you do use the GetUserInfo (namespace/classname: Ensemble.Userman.GetUserInfo), Connection Context Name requires the name of a connection context you define at Admin - Reports - Connection Context List (basically lets you define multiple connection strings for reporting purposes)