First steps, please help! Does I need a storage?

Hi, good night.

I have here a 2008 R2 and I'm trying to make TMG run here. I want to set up the proxy, security settings and the other amenities TMG can provide me.

Well, I installed here TMG 2010, but the TMG console open here to me, I click with right button in Microsoft Forefront TMG and then appear to me "Connect". When I click on that it appear to me a wizard of "Configuration Storage Server Connection".

So, does I need a storage to make it run?

Thanks.

Caio