It should take you to another page where you give a name to the new report model, then click Ok, and it spends ages building up an RS report model based on the schema of the database connection you've provided (and fail miserably, in my experience).
Report models are a throw-back to RS2000 (5?), are a world of hurt that don't work very well and should be ignored if at all possible. If you don't know what it is, you don't need it. You can click the Help button on the web interface page for it to get some more detail.