So, I haven't done a new install of LR for, well, a long time.
Since this is a new install, Lightroom did not have a "working catalog". I guess it didn't create one when you did the install, so this would be something you do at first start-up (I'd do it before importing your first images, but that's up to you).
At any rate, because LR did not yet have a "working" catalog, it gave you the choices to either create a new one or to use (find) an existing one, but since this is a new install, then yeah, create a new one. Lightroom has a default name I believe you can use for catalogs, but otherwise you can name it as you wish.
Some interesting thoughts come up:
First, be aware that in fact you can have more than one catalog that Lightroom can get to and open. Some people like to have multiple catalogs, and there are also some good reasons for some people having that workflow, but you can only have one "working catalog" open at any one time. I myself just have/use one working catalog. Know, though, that thought should be given to your organizational workflow right from the beginning: if you are Importing photos, you might want to consider not only catalog placement, but also placement in your folder system as well as naming of folders and files in ways that are meaningful to you.
Another consideration is the location of your catalog file. By default, Lightroom will create your working catalog in your default "pictures" folder structure ("My Pictures" in Windows). This folder is in your System hard drive. If you have alternatives, such as a "working" internal drive for data storage, I'd look at moving the catalog there...you can do that using the Edit/Catalog Preferences dialog.