After you have typed and retyped your pass phrase for confirmation, please press the Next button. This is the screen that will be shown will your keys are being generated. After it is finished, press the Next button. This screen will ask if you want to send your key to a key server. This is totally up to you.
Many people send their keys to a central server to make it easier for others to get it.
However, others do not want anybody but those they choose to have their public key. This is up to you. After you decide, press the Next button. You have now finished generating your key pair. Press the Finish button.