All you have to do in this first step is choosing your USB device (drive or key) on which you want to create a Linux Live USB key.
Requirements are:
- a USB device with a FAT32 or FAT partition *
- usually 810 MB of free space (but depends on what Linux you install) **
* If your USB device is not in FAT32 or FAT, you will be asked to check the option "Format in FAT32" in step 4. Be aware that this option will erase the data on you USB key.
** If you don't have enough space, free some space or choose "Format in FAT32" in the options (step 4)
** If you don't have enough space, free some space or choose "Format in FAT32" in the options (step 4)
For more information about FAT32 and FAT limitation see Why does LiLi only uses FAT32 and FAT filesystems?