Hiya, after creating my first character the game asks me to insert disk to save, how can I get past this?

Check the folder for the module you're playing (it should say so-and-so .DSN in the game screen, which will be under the Unlimited Adventures main game directory, wherever GoG's installer puts it these days).

Make sure there's a subfolder under it named "save" - that's where UA is expecting to be able to put characters and saves for that module. If it's not there, you'll get an error like this.