As of Joomla version 1.6, Sections have been removed from the Article management layout. Nested Categories have replaced the Sections / Categories structure in versions 1.6 and above.
The following post has been left published for archival purposes.
As I demonstrate in lesson 7a of the Build a Joomla Website tutorials, you need to create sections and categories to store your articles. However there is another option. In the Section drop-down menu, choose "Uncategorised". This will save the article but it will not be stored in a section or category. This is handy if you have something like a privacy policy article that doesn't really belong anywhere else. To link to this article from a menu, use the Article Layout type.