Even if you don’t want split the drive into many partitions, you must anyway create a single partition.
For what I know, the option “Primary” is used for the drive where the operative system is installed. The option “Extended” is used to create other partitions in the drive when you installed the operative system. For example, if you installed the OS in a 500 GB drive, and you created a 20GB partition for the OS, the 20 GB partition will be primary and the remaining space can be partitioned with the “Extended” option.
For my data disks I used the option “Logical Drive”
You can read some more detailed information here