You will be redirected to a Consent page. Here, you can select the location you wish to control with Alexa. By clicking allow you finish the process and enable Alexa to control the devices you have exposed.
Now you can ask Alexa to discover devices for you. Or you can Discover Devices manually through the mobile Alexa app - Devices → Add Device (+ button) → Add Device → Other → Discover Devices. (the web version of the alexa app will show a dialog with a Discover Devices button)
Now you can ask Alexa to control devices by saying the correct command.