The Setup Assistant is displayed if you don't have any existing Simon data. You can also display it later if you wish via the SimonSetup Assistant... command.
Simon offers several services to perform checks on the tests you add. A popular one is the Web (HTTP) service, which watches web pages. This assistant allows quickly importing bookmarks from popular web browsers, as a starting point.
Here you can choose which bookmarks to import, and the frequency of checks to use for all of the imported tests; see the test options page for more information on how this works.
Click Continue to choose which URLs to import from the selected browser's bookmarks.