If you don't like the PGP UserID that is chosen for you, you can opt to change it and create one of your own choosing. You should, however, make sure to choose a UserID of the form John Q. Public <firstname.lastname@example.org> for your UserID.
PGP will then ask you how big you want your key to be (the bigger the key, the more secure it will be, but also the longer it will take you to sign and decrypt documents). Next, PGP will ask you for a passphrase, which you should choose to be something you will remember but no one else can guess. You should make it as long as you wish, but remember that there is a 128 character limit on the length of the passphrase.
PGP will then generate the key, which will probably take some time. It might take anywhere from a few seconds to a few minutes, depending on what kind of machine you are on and what else you are doing.
Once your key is generated, PGPMenu will ask whether you want to get it signed by the local Keysigner, and then whether you want to submit your new key to the local keyserver. If these options are not available, then they will not be presented to the user.
Once the key generation is complete it will wait for the user to hit return to return to either the main menu or the key management menu, depending on which one you used to get here.