new external hard drive does not automatically work for back up.

I had external hard drive for back up. It said there's not enough space that I purchased a new one. It is for Mac. But it does not automatically back up. Mac still recognize the old one. I can select the disk, but it asks me if it can erase "My Passport for Mac" so it can be used for Time machine, which I think fine to do so, since nothing is in this hard drive yet. However, it also shows "Erasing will destroy all information on "my Passport for Mac" and can't be undone. Also, "The volume must be erased because it contains existing data", which this new external hard drive must have.

I am not sure if I can go ahead and erase all in the new external hard drive. I don't know if this a format thing.

Since this is new external hard drive, I do not want to mess it up. Can anyone let me know how to do the back when you change the external hard drive?