The name you are trying to use for the catalog, IE the Catalog name, already exists, IE there is already a catalog with that name in the folder, the Place, you are trying to save the new catalog to.
The location, Place, is the drive, folder and subfolder you are trying to save the new catalog to.
Using the File Open dialog, you can navigate your hard drive to place the catalog anywhere you want it.
The ideal place is in a folder near the root of the drive.
It then asks me to change the name or the locale of the file. I tried changing the name and it doesn't work.
What do you mean it doesn't work? What is the exact sequence of steps you followed? Describe in detail. Also tell us exactly what happened that leads you to say "it doesn't work". Describe in detail. If there is an error message, please quote the exact complete unedited word-for-word error message.
Thanks everyone, Just Shoot Me was on point with his advice.