You shouldn’t need to use the “domain” name, just the User name and password you created through the My Cloud Dashboard. Windows also may block mapping a share if you have already mapped a Share using one User name and are trying to use a different User name for the new Share. If this is the case, disconnect all existing mapped shares and try remapping all Shares using the same User name (provided its configured for access to the Shares your trying to map.)
See the following WD Support document that gives general directions on how to map a Share in Windows.