Microsoft Sculpt Keyboard on OS X
According to your screenshot you should press the key on the right side of the LEFT Shift key (the z key) from the message given:


  "Press the key immediately to the right of the Shift key on the left
  side of the keyboard that can't be identified."


It looks like you're applying the instructions to key to the right of the shift key on the right.


ANSI would be the likely choice for US English