You want to create a new archive. You opened the Setup -> Data Format and clicked on the New button so that your screen looks like this:

Data Format with new Internal Database

After closing the window you clicked on the Archive! button. But the new archive wasn't created. The problem was that you didn't close the open archive:

When you have an archive open then Mail Archiver will always archive to this archive.

After closing the archive Mail Archiver will create the new archive on the desktop.