Just for future reference, you don't need to delete the default wallet... you can simply change the wallet name that is shown in the text box from "default_wallet" to another name.
It will then change from asking for a password to say that "the wallet file does not exist" and will let you run through the new wallet wizard:
Electrum will always attempt to open the file named default wallet in the data directory. Have you written down the 12 word seed?
Actually, it attempts to open the last wallet file that was open... (or default_wallet if it is the first time running).