Select the 'Add Record' dropdown and then choose '+TXT Record'. It is not necessary, but at this point you can filter by the type of record you are going to add to see what you already have. For me, this was 'the trick' you needed to know.

Next go to your domain's Cpanel and in the 'Domains' section, select 'Zone Editor'.

Still in the Settings area of Protonmail, select the red 'Verify' button to get a special TXT value for verification purposes.

The first thing you need to do is verify the domain. This will provide a list of red icons, indicating the parts you have not set up yet.

In order to have something to verify, first go to Settings in the Protonmail interface.

From a broad overview, you need to add your domain, verify it, create email addresses to be used, make sure the emails are being sent to Protonmail for processing.

The Cpanel part of the instructions are most likely applicable to redirecting your email to any third party email system. These are step-by-step instructions on how to get your personal domain's emails to be handled directly by Protonmail using Cpanel administration tool used by many hosting providers.

Protonmail email address