The next dialog lets you set parameters of the world on which you’re playing:

For right now just hit OK or press the [return] key on the keyboard.
You can also: 
•
adjust the number of players - up to eight,
•
Choose between a small and large world,
•
Customize lets you adjust some advanced features,
•
Chosing an Army File is another advanced option for selecting other sets of armies,
•
Cancel brings you back to the main screen.