I hooked the ESS up... and have been going through the installation. Everything has been going ok until this box pops up....

***I did not connect this to CNC machine. I was just installing this before I hooked it up to my machine. I don't know what I should click here? I'm afraid to mess up any settings!***

Just click 'OK'. All this message is telling you is that it is the first time you have used the SmoothStepper on this Mach profile. Since the ESS was not part of your configuration before it needs to add a few pieces of information to the Mach profile that were not there previously.