The response variable is the variable you are trying to understand. You are trying to model the response with the factors.
When you press the button, you are prompted for the response variable if there is not one specified. You can also specify or change the response variable by selecting 'Change' and then 'Response...' from the Locals pull-down menu, or by selecting the keyword 'Response:' in the body of the main window. Either of these actions brings up a list of the numeric variables in the data set that are not currently being used as factors.