At the first time startup of PL/SQL developer, you may want to new a connection to start to use the tool. But sometimes, you might see that there's no TNS entries from the drop-down menu in Oracle logon dialog.

PL/SQL Developer - No TNS from Drop-down Menu
Furthermore, you saw an alert window was thrown if you insisted to make the connection.

PL/SQL Developer - Initialization error, Oracle Client not properly installed
Initialization error
Oracle Client not properly installed
OracleHomeKey:
OracleHomeDir:
Rationale
Normally, it's because that there's no ORACLE_HOME environment variable has been set in your operating system, so PL/SQL developer has no way to find a proper tnsnames.ora to use.
This could happen when you use Oracle instant client as your connection base in this machine.
Solutions
There're 2 ways to solve it.
No matter which way you want to do, please make sure that there's a valid tnsnames.ora file under %ORACLE_HOME%/network/admin. Still, if there's no content in tnsnames.ora, then you see no TNS in the drop-down menu.
Set ORACLE_HOME in Operating System
To solve it, you can simply set ORACLE_HOME path in your environment. Here we use the instant client home as our ORACLE_HOME.

Environment Variable Editor - Set ORACLE_HOME
Click OK to make it take effect, then close the program, re-open PL/SQL developer.
Set OCI Library in PL/SQL Developer
To make ORACLE_HOME work in PL/SQL developer, we should go for the function menu "Tools" > "Preferences".

PL/SQL Developer - Tools > Preferences
Next, we expand "Oracle" category and click on "Connection" item. Here we set Oracle OCI library path in the field instead of setting Oracle Home.

PL/SQL Developer - Preferences - OCI Library Path
In fact, the first field for Oracle Home actually asks you for ORACLE_HOME_NAME, the name of Oracle Home, not the path. For instant client, there's no name for Oracle home.
A valid ORACLE_HOME_NAME looks like, for example, OraClient11G_Home1, OraClient12Home1 or OraClient19Home1.
If everything looks good, please click OK to confirm all settings, then restart the program, PL/SQL developer.
It should be all right now.