When first connecting a Thunderbolt 3 device, the device must first be authenticated through Intel's Thunderbolt 3 software. To do so you can use the below instructions as a guide:
After connecting a Thunderbolt 3 device the first thing that you should see (assuming that the system NVM, BIOS, drivers, etc are up to date and compatible) is an automatic notification above the system tray notifying you that a new device has been attached. You will want to click OK:
After clicking OK, you may get a Windows User Account Control (UAC) popup asking if you "want to allow this app to make changes to your PC?". Click Yes:
After clicking yes you should see a windows like this appear which is where you will approve the Thunderbolt 3 device that was just attached:
Click on the drop down menu where it says "Do Not Connect" and select "Always Connect". Then click OK:
To view and manage the approved devices you can find the program sitting in the system tray. You may need to click the caret (up arrow icon) to show all of the running programs then right click on the Thunderbolt icon it and select Manage Approved Devices:
You may again get a Windows UAC prompt, click yes. After clicking yes the below window will open and you can see any approved devices and remove them if you choose.