[Sabardeyn]

I haven't touched Calibre Portable, but since the software is designed to be moved around, I believe it's asking you to point it to wherever the calibre library is currently located.

Just point it toward the library and you should be fine.

Note that if you're trying to copy the library from one computer to a second computer, just telling calibre the library is on the flash drive isn't enough. You will have to either create a new library on the 2nd computer and then copy all books into the new library (inside calibre), or you will have to copy & paste the entire library folder from your original library onto the 2nd computer (using your operating system) and then tell calibre where to find it using the switch/create library function.