In step 4 of the wizard, make sure you click Let Access add primary key, and then click Next.
Primary keys are important because they make each row in your table unique, and that helps ensure accuracy in your data because you can't enter duplicate information.
Note that if you're familiar with databases, you don't have to let Access create the primary key for you. The picture shows that you can create your own primary key by using other columns in your table, or you can omit a primary key entirely. But leave those steps alone until you gain some expertise.