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Use the first dialog (Figure 2) to specify the gene sets. You can run GSEA on pathways (currently based on Kyoto Encyclopedia of Genes and Genomse (KEGG) pathways) or on other gene set databases.

If you select Gene set database option, another 

References

1. Subramanian A, Tamayo P, Mootha VK, et al. Gene set enrichment analysis: a knowledge-based approach for interpreting genome-wide expression profiles. Proc Natl Acad Sci U S A. 2005;102(43):15545-15550. doi:10.1073/pnas.0506580102
2. Mootha VK, Lindgren CM, Eriksson KF, et al. PGC-1alpha-responsive genes involved in oxidative phosphorylation are coordinately downregulated in human diabetes. Nat Genet. 2003;34(3):267-273. doi:10.1038/ng1180