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:
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.
