That is perfect! That means the wallet is up and running. It is asking you which kind of wallet you want to run:
Option 1: Full Node
You need a static IP and need to search for neighbours. Your PC should to run 24/7. This option helps the iota network, but takes time and knowledge.
Option2: Light wallet
I recommend this option to you. You need nothing but the GUI you just installed. Go to www.iotasupport.com --> light wallet and enter a server address. A full node is running on all listed servers on that site. You wallet connects to these to do transactions etc. POW is still done locally and, very important for you and the security of your funds: The Seed never leaves you computer! This makes the light wallets safe.
For more information (this was the very fast version as its 3 am for me, read through www.iotasupport.com)