Here you have Layer 1 with the circle. Other parts are transparent and there's no background. If there are more layers make sure you have selected the one you want to convert into a background.
Go to Layer->New->Background from layer
(here, you can also make groups which help when there are tons of layers you're working with.)
There, we now have a background. The transparent area became white because (as far as I know) the background can't be transparent.
That lock icon next to the "Background" text means you can't change the opacity and type of this layer, but you can change the colours, draw on it etc.
When you open photoshop, you automatically get a white background. You can do whatever you want with it, you can convert it to a layer or delete it. (Layer->New->Layer from background)