I just install a new hard drive in my Dell Dimension 2400, when I power up the computer it says strike F1 to retry boot, F2 for setup utility, I hit F1 and it says same thing so I hit F2 and it went to setup utility page, now what do I do next?

It sounds like you installed this new drive in the boot position, and it is not formatted, nor does it have an operating system installed on it. Is this new drive supposed to replace an old drive? Or did you just want to add a second drive? Do you have your original Windows install disk?

Welcome to D-A-L.

According to this it's a Desktop machine;
Dell™ Dimension™ 2400 Series Documentation

Did you add this "new" hard disk as a second (storage) disk, or are you replacing your (original) hard disk and reloading the Operating System?

If it's being added as a second disk, simply hit F2 and add it in the bios setup, then use Disk Manager (Start, Run, diskmgmt.msc) to partition it if desired, then format it to make it ready for use.

If it's to replace your OS original disk, there are a couple of ways you can go about this.