This is another step you only have to worry about when setting up your iPod touch. When you sync normally, you won't see this.
Next you'll have the chance to either set your iPod touch up as a new device or restore a previous back up to it.
If this is your first iPod, click the button next to Set up as a new iPod and click Continue.
However, if you've previously had an iPhone or iPod or iPad, you'll have a backup of that device on your computer (they're made every time you sync). If so, you can choose to restore the backup to your new iPod touch. This will add all your settings and apps, etc., without you having to set them up again. If you want to do this, click the button next to Restore from the backup of, choose the backup you want from the drop-down menu, and click the Continue button.