Once you Apply the business settings the Save As Dialog Screen should appear. In this next step of the business accounts setup, you will name your accounting file and create a folder to hold the files.
This step is crucial because GnuCash generates a lot of files and if this step is not done properly, your files will end up outside of the folder intended to hold the business files and all mixed in with your files in your document folder. When done right your files will be saved and organized into the folder specifically created to hold your Gnucash files.