I was following the Demo: Athena lesson in the Cloud Playground, and when I entered the first query I was prompted with "Before you run your first query, you need to set up a query result location in Amazon S3. Learn more" This step is probably new and wasn’t part of the demo. It should be.
Indeed that is correct. You need to in fact actually provide the "output location" or "Query Result Location" by providing S3 bucket, before setting up ATHENA.
I am sure you would have figured this out by now, nevertheless please check the following in case you need more details how to setup this information.