You use the User credentials you created in the My Cloud Dashboard, NOT the user credentials you used to setup a MyCloud.com web portal account. They are two different accounts.
Edit to add: Officially you can ONLY map a drive locally on the same local network as the My Cloud. Users with the v4.x firmware My Cloud units can install an unofficial app called CloudDAVMod that provides remote mapping capabilities.
http://community.wd.com/t/app-clouddavmod-various-versions-for-firmware-v4-09-2016/161543