This wizard helps you creating a new Segment; you specifies here its name and label, and moreover the project and package where it will be saved.
In the 'Navigator' view of the 'Design' perspective, you will see that the packages represent the branches of your projects. Each package contains its own instances.
So naming a package after a library is be a good idea. To reflect the library hierarchy, you can enter the library names (starting from the highest-level library), and separate each with a period (ex: 'COM.CIF') . This way, the 'Navigator' view will display a first-level branch, COM, with its instances, and a second-level branch, CIF, with its own instances.
A project represents the physical distribution of your instances in your workspace. There can be various projects for each location (a location is the equivalent of a database).
The Segment name is made of the Data Structure name and a number. If a library is defined with the protection of extracted entities or no modification of extracted lines, the creation of a Segment is authorized if its Data Structure exists in the same library and if the Segment does not exist in a protected library of the network.