It is called an extended partition. This is the space left over after the primary partition. If this doesn't work, it is because your drive is not installed correctly. First, you have to setup a primary DOS partition. Choose Option 1 in the next menu.
Many people make the entire drive one partition just to stay simple.
If you don't want to do so, specify the amount of drive space you want to partition in either megabytes or percentage of total drive. Next, you'll need to make this partition active. Follow the prompts. Plug in the percentage of drive to partition for this one. Do not make this partition active.