I think you're using the wrong option by choosing to use the networking wizard. That way lies madness. You should really check out the link suggested by JackMDS. Really. The problem with the networking wizard, and the reason you are seeing the warning, is that the wizard is proceeding on the assumtion that you should be using one Microsoft-OS-based computer (with two NICs in it) to connect to the Internet, and that you would then connect all other computers to that first computer and get to the Internet through Internet Connection Sharing. So the wizard is trying, among other things, to figure out whether or not to turn on the Internet Connection Firewall.
The manual method of doing the setup is better, and not difficult at all. If I'm not mistaken JackMDS has something to do with the information to be found at the link he provided. He won't mislead you. I haven't had a chance to look much at that site, but what I have seen there has been excellent.