Now you will be prompted to write the bootloader to disk. If you want to use LILO to select which operating system to boot, you can install it to the Master Boot Record of the Primary Hard Drive. If you use another program, such as System Commander or Boot Manager to manage booting, you should install LILO to the first sector of the boot partition. Unless you know that you need to pass LILO special options, select "Ok" at the Lilo Installation prompt.
You will now be given the opportunity to customize labels for the operating systems LILO can boot. For a typical (DOS|Win) / Linux Dual-boot setup, the defaults are probably fine.