How to install and setup dev dashboard properly?

I just installed the new dev dashboard and I am trying to set API or pretty much any thing with it. I tried logging in with my details, clicking on the API button to set that... anything I do with the dev dash board sends me into a loop. I click on it and it logs me out of the site. Here are the steps.
Log into WP, login to dev dashboard. Back to website wp login, login to wp then log into dev dashboard. Back to website wp login.
What am I doing wrong?