Just click "Continue" anyway, and it will open a pop-up to connect to CapitalOne.

I'm not sure if something changed since these other answers were posted, but the solution is much simpler than they make it sound. The prompt Mint gives you saying "go to the bank site to connect your accounts" is really misleading. It makes it sound like you need to go to your bank/credit account and do something, but if you just click "continue" it will do that for you.