You can skip this step. Note that you get more free secure traffic if you connect to My Kaspersky.
If you already have a My Kaspersky account:
Enter your credentials.
Tap Sign In.
If you do not have a My Kaspersky account:
Tap Create an Account.
Complete the registration process. A message with the account activation link is sent to the email address you specified. Tap the link to confirm your registration.
Your mobile device will be connected to the My Kaspersky portal.
Allow the app to send you notifications if you want to receive the information about the connection state.
Kaspersky Secure Connection is ready for use on your mobile device.