Hey there, kc0mjp!
As @ronintexas mentioned, Windows asks for it, because it needs a location to install OS.
Did you partition and format the drive, before trying to install Windows on it?
If not, here's a link that you might find useful:
How partition and format a WD drive on Windows: http://wdc.custhelp.com/app/answers/detail/a_id/3865
The OS fails to recognize a WD drive: http://wdc.custhelp.com/app/answers/detail/a_id/1708
Hope this helps you! Keep me posted!