In order to create a Safe Multisig, you need to connect a wallet (=owner wallet) as a first step before actually creating the Safe account. The Safe account address will be different from the address of your wallet.
A Gnosis Safe consists of a number of owners
The Gnosis Safe is a Multisig wallet which is controlled by it's owner accounts. Please refer to to the respective help center article to learn more about this.
Owner wallets sign and execute transactions
The Gnosis Safe web interface does not hold a private key. Thereby it cannot sign or execute transactions. An owner wallet is needed in any case to (1) create a Safe, (2) sign transactions (on-chain or off-chain) and finally (3) execute transactions.
What wallet should I use and what if I don't have a wallet already?
This is really a personal decision. The Safe supports a variety of wallets. The most popular options are Metamask and hardware wallets such as Trezor and Ledger. We recommend doing your own research on the different options in order to decide which one is the right one for you.