It looks like you are creating your attribute correctly, add some options to it. Once your attribute is complete, you need to add it to the attribute set by going here: Catalog > Attributes > Manage attribute sets. Once there add your attribute to the attribute set:
Once you do that, you may need to re-index. Now you can create a configurable product, go to Catalog > Manage Products then select "Add a Product" on the New Product screen select your attribute set, and select "Configurable Product" front the Product Type drop down list. When you click continue you should see your attribute as a checkbox:
Select your attribute and proceed to create your product like any other product.
Hope this helps.