As soon as the button shows Stop, you can close the window and continue. This really does make sense if you read the details shown on the screen. The Sharing Setup process identifies your Mac to the rest of the network and establishes all the requirements for sharing. Now you have to identify what it is you want to share, and with whom you want to share those things. The first step in sharing is to determine what it is you want to share.
Many folks create a special folder for sharing.
Once you have determined what folder you want to share, select it and go to the File menu. In the File menu is an item called Sharing Selecting this item will open the File Sharing Window. The name of the folder you are about to share is shown in the Title Bar. The folder's location is near the top of the window along with a check box titled ShareThis Item and Its Contents. When you check the box the balance of the window's items will be available.