1. Sourcing from SCM:
Create Jenkinsfile and store it in the root of your repo. Setting, "Pipeline Script from Jenkinsfile" will pull it from your version control.
2. Using in-line editor
Choose the "Pipeline Script" option, editor should show up on the same UI page.
3. Pipeline Script from SCM
And, then there is the third option to be more specific with SCM (git / subversion and provide details of repo, credentials, etc.) if you choose, "Pipeline Script from SCM"
However, all this depends on the version of Jenkins and the plugins installed.
/Ram