I'm guessing you pressed the 'Join Xbox Live' or something similar on your console dashboard? If you did, you don't need to since you've already created an account and a Gamertag (you logged into this site with it). Since you already have an account, all
you need to do is download the profile to your console.
This support guide tells you how to do it:
http://support.microsoft.com/kb/907333
Welcome to Live!