The next option is to connect to a Wi-Fi network, if you have one. This isn't required, but if you have a Wi-Fi network where you're activating your iPhone, tap on it and then enter its password (if it has one). Your iPhone will remember the password from now and you'll be able to connect to the network any time you're in range. Tap the Next button to proceed.
If you don't have a Wi-Fi network nearby, swipe to the bottom of this screen. There you'll see an option to use iTunes. Tap that and then plug your iPhone in to your computer with the included syncing cable. It's best if you do on this the computer you're going to sync your phone to going forward.