I would try changing the directory you are saving the project in - if this doesn't work, try reinstalling Netbeans.
Or try clicking on finish. When it blinks, close the new project window and then check if the project has been created. Sometimes programs have this bug where it creates the project, but doesn't close the Create New Project Window/ inform the user.
I am speaking from experience- this happened to me a couple of weeks ago, and reinstalling Netbeans worked for me.
PS: Any IDE errors are logged in %userprofile%.netbeans\7.0\var\log\messages.log
Check it out if you come to a dead end.
JDKversion are you running on your machine?%userprofile%\.netbeans\7.0\var\log\messages.log