Trying to hook up new back up drive…

It’s asking me this… do I hit erase or don’t erase?

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Yes. If you're using a brand new drive for your Time Machine drive then it's ok to erase it. Most likely it was formatted as a Windows drive. While Apple can read and write to Windows drives, they cannot the the target of a of a Time Machine backup. Erasing the drive will also format the drive correctly format it for your Mac to use it as a backup drive. (MacOS Extended Journaled)