You have not yet designated any disk partitions as type Linux.

If you are planning to use OS/2 Boot Manager, make your Linux 
partitions with OS/2 fdisk (or Partition Magic, which also
includes Boot Manager), format them, reboot this disk, and then
use Linux fdisk to tag the partitions as type 83 (Linux). 

Linux fdisk will select a default device when called without 
arguments, and from there it is menu driven. If you don't want 
to partition the default device, then call fdisk with the device
you want as the argument, like this: 

fdisk /dev/hdb

or this: 

fdisk /dev/sda

If you are not using the OS/2 Boot Manager, then you may use Linux
fdisk to create partitions for Linux. Other than the exception for 
the OS/2 Boot Manager, you are usually better off creating 
partitions for a given OS using a partitioning tool native to that
OS. In other words, you probably shouldn't try to make your DOS or
other non-Linux partitions with the Linux fdisk. 

"cfdisk" is an equally good version of Linux fdisk that is more
graphical and menu driven. Many people prefer to use "cfdisk".

Please make one or more partitions for Linux, and try setup again.
If you haven't already, you might want to also make a swap partition
while you're in fdisk. 64 megabytes would be a minimum starting size
for a single user system. Linux swap is tagged as type 82.