When you activate the "X" function on the toolbar, clicking the cursor on the pin will alternately set the pin to no connect or clear the no connect. It "toggles" the pin between the two states. There are also ways to set a bunch of pins to no connect in a "batch mode" but this is advanced and too complicated to describe here. For this, definitely refer to the Help. There is another way to set this "property" of an individual pin but you want to use the cursor function (trust me).