If you did not tell The Vault to format your disk, it will make sure that you have inserted the correct disk by checking that the label written on the disk (if any) matches the current backup set name and sequence number. If they match, The Vault will proceed automatically. If not, it will give you a dialog box asking you what to do. The two most common reasons for seeing this box are that you actually made a mistake and accidently put in the wrong disk or that you are making a new backup set and none of the disks have labels yet. In the latter case, you should click on `Relabel and Proceed'. The causes The Vault to relabel the disk and proceed with the backup. In the former case you should insert a different disk (presumably the one that was expected) and click on the `Insert Different Disk' button.
A third possibility is that you previously typed the wrong backup set name and want to proceed using the backup set you actually inserted in the drive. To do this, click on `Proceed'.