You can close the dialog box while your files sync to OneDrive. In the Set up protection of important folders dialog box, make sure the folders that you want to protect are selected. If you didn't see the prompt or you already closed the wizard, select the white or blue cloud icon in the Windows notification area, and then in the activity center, select More > Settings > Auto Save > Update folders.
If you're prompted to protect your important folders (Desktop, Documents, and Pictures), click the prompt to start the folder protection wizard.
