In order to complete the setup you need to open your Plex Media Server through its local IP.
If you’re on the same Mac… open http://127.0.0.1:32400/web in your browser. If you’re on a different machine inside your home network, use http://[PMS IP address]:32400/web instead. This will bring up a wizard/dialog where you can name your server and link it to your Plex account (as well as creating your first libraries).
Once you “claimed” your server (=linked it to your Plex Media Account), you’ll also be able to access it from other Plex apps or via http://app.plex.tv/desktop. Given your description I suppose you were opening that last URL.
