To connect to CloudExtend using Single Sign On, follow the steps below:

Step 1: Set up My Domain for your Salesforce account (My Domain is required for SSO with external IDP as per this link)

Step 2: Map the domain to IDP. This is configurable under Domain Management > My Domain. You can Prevent login from login.salesforce.com under My Domain Settings as well as select the appropriate login service under Authentication Configuration.

Step 3: Once the above is done users can use the built-in option in the Salesforce login window named Use Custom Domain.