Gateway Response Message says to select a Processor
Your Processor is your Merchant Account which sometimes is referred to as a Payment Processor. Salesforce will send the transaction details to your Gateway. Your Gateway then sends the information to the Merchant Account (Processor) which then sends it to your bank.
Some gateways bundle the processor in with the gateway so you may not realize it's there. Others will require you to set it up within the gateway settings. You should check with your gateway on the correct way to set this up if necessary.