When trying to record a website using tunnel mode no connection options are available, none of the computers network adapters are listen in the recording options dropdown. Could this be due to local permissions?
That could be due to permissions. Have you tried to start NeoLoad with Administrator rights as it is needed to record in tunnel mode?
You might also have some useful information in the NeoLoad log files accessible through the menu "Help-->Open logs folder...".
The neoload.log file should be the interesting one.