But it says not connected.
there is a weird GUI bug about electrum that only happens for fresh installation. it doesn't show you anything including your balance until it finishes up downloading the whole blockchain_headers. it is a file about 40 MB which obviously will take some time on most internet connections.
if you have a way to monitor your traffic like using your AV's firewall, take a look and see when if it is receiving or not. wait for it to complete the download.
otherwise you can go to where your wallet is [1] then go back up 1 folder to the \Electrum folder and see if the file called blockchain_headers is at 39,827,600 bytes or not.
http://docs.electrum.org/en/latest/faq.html#where-is-my-wallet-file-located