I'm afraid you are not doing anything wrong here. In its infinite wisdom, Nikon rendered the WiFi functionality pretty much useless on its latest models, which includes the D500, D3400, D5600, D7500, D850. They "added" SnapBridge, a Bluetooth connectivity function, and implemented it in a way that the ONLY way to connect your camera via WiFi is by first connecting it via SnapBridge to a phone or tablet (Android or iOS only), where you can then change the connection to WiFi. In other words, there is NO way to connect to a desktop or notebook.
Nikon's SnapBridge app has very limited and basic functionality but this implementation renders ALL other phone/tablet apps useless, too, although there are plenty of third-party apps that allow you to control many features of WiFi-enabled cameras. I use some of them with my D7100 but, like you on the D7500, cannot use them with my D500.
One of the stupidest and most highly irritating moves Nikon made in many years. It could be changed with a simple firmware upgrade, but the company still does not seem to get it. Arghhh!