We've heard reports where it seems if no existing library exists, either on the file system, or registry, the creation routine just prompts to create a new library from scratch, but skips the step where the library is actually created. Here is the workaround until we fix this issue in an upcoming update.
- Open Paperless, click new when the dialog appears.
- When it goes away, select File (the blue circle may still be going), then click "New Library".
- On the Create New Library Window, click OK then set your Library name and path (leave the default values to use the default library).
- Click OK and you should now have a new library created.