This step is telling you to create a recordset to select all of the options that you would like to make available for the product. This could be as simple as 'SELECT * FROM options'. You just need to query your table to return the options that you would like to be able to associate with the product. If you are not familiar with SQL and recordsets I would suggest that you read up on this a little more to have a better idea of how to make use of recordsets. We have a free training for databases, it is called the Database Starter Kit for PHP, here is a link to the page you can get this from:
Since using the MRT server behavior will require you to have an understanding of the basics of SQL and inserting/updating records it is very helpful to learn this knowledge in advance.