The overview page presents you with a summary of all the input parameters you have specified. You should inspect the parameters to check they are correct, - and if not go back and change them.
From the page you can either Finish the set-up, which will transfer your set-up definition to the current toolbox file, or Execute the set-up.
The created DHI World file with the geo-referencing information will have the same name as the image file with an additional ‘w’ in the end of the extension, i.e. bmpw, jpgw, gifw, pngw or tifw.