When SEGGER Embedded Studio for ARM loads a project, it examines the file system folder that contains the project to determine the source-control system the project uses. If SEGGER Embedded Studio for ARM cannot determine, from the file system, the source-control system in use, it disables source-control integration.
That is, if you have not set up the paths to the source-control command line clients, even if a working copy exists and the appropriate command line client is installed, SEGGER Embedded Studio for ARM cannot establish source-control integration for the project.
You can set the credentials that the source-control system uses, for commands that require credentials, using VCS > Options > Configure. From here you can set the user name and password. These details are saved to the session file (the password is encrypted) so you won't need to specify this information each time the project is loaded.
SEGGER Embedded Studio for ARM has no facility to create repositories from scratch, nor to clone, pull, or checkout repositories to a working copy: it is your responsibility to create a working copy outside of SEGGER Embedded Studio for ARM using your selected command-line client or Windows Explorer extension.
The "Tortoise" products are a popular set of tools to provide source-control facilities in the Windows shell. Use Google to find TortoiseSVN, TortoiseGit, and TortoiseHG and see if you like them.