At this point, you'll be presented with a host of options. First, you'll be asked where you'd like your session file saved; I highly recommend creating a new folder with the song name, and then saving the session as the song name itself. You'll also then pick your bit depth and your sampling rate. Here's where things get a little complicated.
If you're low on system resources, or working on a simple project, I'd recommend playing it safe; select 44.1Khz as your sampling rate, and 16 bit as your bit depth. This is the standard for CD recordings. If you'd like to record in better detail, you can select up to 96Khz, 24 bit. It's up to you, and your project, what you chose.
At this point, you'll be asked to select a file format. For widespread compatibility, I'd select .wav format. Wav format is easily transferred to Mac or PC, however, .aif is considered a more professional format. It's up to you what you use, though.
Click OK, and move on to the next step. Let's take a look at building the session layout from there.