It is asking me to select a shareholder, but there are no shares in the company, I am the only owner

If you are the sole person within a company Limited by Shares, you must issue a minimum of one share to yourself as a shareholder. This will give you full ownership and control of the company.

You can issue more than one share to yourself, if you plan to sell shares at some point in the future, to bring in new business partners, or raise capital to grow the business. 

Many people choose to put a round number, such as 1, 10 or 100, so it is easy to work out the percentages of ownership. For example, if the company has 100 shares and you own all 100 shares, you will have 100% ownership. If you own 90 shares and someone else owns 10 shares, you will own 90% of the company.