That's a quirk of newish FW versions, IIRC. There's a strongly worded warning later if the retry fails
.
Nothing a restart wouldn't fix anyway.
You basically want to setup the new network interface with a static IP as described in the README. You'll just have to fight windows's inane Settings panel to actually get at the network interface list, and from there, it's a couple clicks away from the preferences or whatever the entry actually is in the right click menu on an interface.
(Err, fuzzy memory, sorry, the last time I did this was to tether an Android phone in connection sharing mode, which is actually technically fairly similar).