The next step is to add files to the application. The examples.trace.MQeTraceServlet is in the MQeExamples.jar and relies on classes from MQeGateway.jar, MQeExamples.jar and MQeTraceDecode.jar.
Since you've included all the classes you need, the next panel that asks you if you want to make distributable, or set a classpath, can be left blank, just click next. The next panel is to set any icons for this web application. If you don't have any, just click next.