Hi Pretyanaa,
If you are creating New Company then you have to Create New Company from Choose Company Window and If you are trying to backup and Create Test Company then you have to Use SQL Restore Function.
For Creating New Company Please check below lhelp file link.
http://help.sap.com/saphelp_sbo882/helpdata/en/45/06da8ed8696c30e10000000a114a6b/content.htm
For Restoring Copy of Database from SQL then Please check below link.
Hope this help
--
--
Regards::::
Atul Chakraborty