The program is asking you which serial port you're using to connect to the radio.  If CHIRP's list is empty, then you probably have no serial ports because the drivers for the virtual serial port chip in your cable aren't installed.

If CHIRP isn't picking a serial port for you automatically, but there are some in the list, then you may have more than one serial port or "virtual" serial port in your computer, and your problem is to figure out which one belongs to your cable.

If you have more than one serial port in the list and you're using a USB-to-serial adapter cable, which most people use, then there are ways to find the identifier of the virtual serial port associated with your cable.  In Windows, pull up the Device Manager and plug and unplug the cable a few times.  The serial port associated with your cable will appear and disappear in the Device Manager as you plug and unplug the cable.  In Linux, unplug and plug in the cable (once), and run `sudo dmesg | less`; the output should give you a few clues.  If you only have one virtual serial port then the one you're looking for is probably /dev/ttyUSB0 in Linux.

I haven't used a Mac in decades, so I don't know how to identify the serial port on a Mac, sorry.