The remote repository location refers to somewhere outside of the local repository that you would like to push to. This can be any of those protocols listed (i.e., you can "push" to a local repository on the disk, or somewhere on the internet). A popular remote repository service for git is Github. Creating a Github account and using it as the remote allows you to push your changes to their server, and make use of their services associated with git.
Using a remote is not necessary, however. If you want to have your source code only on your local machine, then there is no need to add remotes. In that case, use the first radio option. You may need to initialize the git repository if you haven't yet. To do that, visit the directory of your project and run git init
(assumes you have git installed).