That’s not an error, just a warning that you are not saving/making a “regular” audio file. If you click “OK” you should be able to proceed an save your project. (But I’ve never tried saving a blank project.)
Empty projects can be saved. This is a useful feature if for some reason you Audacity to write it’s temp data to a non-standard location (if the project has been saved, temp data is written into the project’s “_data” folder).