New Private Network Detected!

I keep getting an error after install “New Private Network Detected!”

The firewall has detected a new private network that your pc is about to join.

I have no idea what this means. I’m a novice with firewalls. Can anyone help?

The network ‘discovered’ is the connection from your computer to the internet, either direct to the modem or via a router.
Give the network a name or use the default name and allow it.
You can optionally add this network via Firewall/My network Zones/Add.