How are you accessing your Plex Media Server?
In order to complete the setup you’ll need to open the server directly. If you’re on the same Mac that’s running your Plex Media Server… open http://127.0.0.1:32400/web in Safari. If the Plex Media Server is running on a different device in your home network, use http://[PMS IP address]:32400/web instead.
During initial setup you’ll be asked to assign a name to your server and it’ll help you creating your first libraries (which you can also change/modify/do-over at some later point).
Once the setup is completed and the server is linked to your Plex account you can also open it via http://app.plex.tv/desktop.
