Unable to Link to SQL Server

Hi All

I'm trying to install CRM on one server and SQL (2019) exists on another server. 

I have downloaded SQL Management Studio to the CRM server, but even doing that when attempting to install CRM, there is no option to link to a SQL Server. I only get 'Azure SQL' or 'SQL Express'

What do I need to do in order for the option for SQL Server to appear?  

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