If you are in the process of building and testing the AEP, you should be able to ignore the warning about the strong name. Once you are to the stage of deploying the AEP, then it is probably a good idea to give it a strong name.
If you have not seen it, Jensen and Anderson's book has good information about creating an AEP
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Edit After you have built the AEP, you need to add it to the data dictionary in order to be able to call it. The data dictionary stores meta data about the procedure (procedure name, parameter information, DLL name, etc.). Then when you call it (e.g., execute procedure myproc('abc', 1, 2, 3);) Advantage can get the information from the dictionary to invoke it. I don't have everything with me right now to go through the steps (Win7 upgrade went awry on my laptop and left me starting over). But the simplest way to "install" the AEP is to right click on the Stored Procedure node in the dictionary (left pane in Advantage Data Architect). There is an option to create a new procedure. This information from the book might help clarify those steps.