This step applies only to the iPhone 4S and newer models. Here, you need to decide whether you want to enable Siri, the iPhone's voice-activated assistant that you can talk to to perform actions.
Siri is one of the most exciting features of the iPhone 4S and iPhone 5. I recommend enabling it, but it's not required. Make your choice and tap the Next button to head to the final few steps.
Apple will then ask if you want to share information about your iPhone--basically information about how the iPhone is working and whether it crashes, etc.; no personal information is shared--with them. It helps improve the overall experience of using the iPhone, but is strictly optional.
Once you've done that, you're ready to go!
Since you didn't set up your iPhone using data from iCloud or a backup, you'll need to add content to your iPhone from your PC. To do that, learn how to syncing your iPhone.