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.

1. Open Paperless, click new when the dialog appears. 
2. When it goes away, select File (the blue circle may still be going), then click "New Library".
3. On the Create New Library Window, click OK then set your Library name and path (leave the default values to use the default library).
4. Click OK and you should now have a new library created.