The 25 words that show up next are called a mnemonic seed and can be used to recover your wallet. Make sure you store them somewhere safe. Anyone with those words, in that order, can essentially open and use your wallet.
Your wallet name doesn’t matter. Make it whatever you like or even just call it wallet.
Pick a location on your computer that you’ll remember to store your wallet files. Although if you lose them, it’s really not that big a deal because they can be restored from your mnemonic seed.