You adjust that when you insert the image into the post, not when you upload it.
When you upload the image, you will be looking at it on the Media Library page. On the right hand side is a column that says “ATTACHMENT DETAILS”. Scroll down on that, and look for “ATTACHMENT DISPLAY SETTINGS”.
The field you’re looking for is called “Link To” and you want to set it to be “None” before you click the “Insert into Post” button.
