This dialog arrives when you create a new profile. Here you should enter a profile name. You can also define the name of the macro file to load when this profile is loaded (useful is you have common variables or actions that would be used on all profiles). You can also choose the name of the file to save the profile into when you exit JMC. There is also an option to execute a certain command on exit. This is used when the profile is unloaded (whether JMC is shut down, or a new profile is loaded).
See alse: Profiles and setting Profiles options page