Hello,
I'd say you blew by the storage definition wizard during installation. But do not worry, you can define it now.
Open the Smoke Setup Utility and then select the Media Storage tab. Here you will find the path definitions to your storage. I assume there are none defined. So you can press the add button to create a path to where you want your storage to live. I have attached a snapshot of the utility with the add window open.
Once defined, use your Smoke Service Monitor to restart all your service, then start Smoke and you should be able to create your project.