I am sorry but it is little bit confusing.
The screen shot you sent is from portal engine templates, most likely.
Anyway, you can keep the inheritance in ASPX templates as well. You will set the particular page templates to inherit from your .master file.
IF you want to use ASPX templates, please follow the documentation links posted by Bryan - you need to register the root page template in Kentico and then you will be able to select it.
If you will follow the ASPX templates and set their master page file setting, they will be inheriting from this page template. You can take inspiration from \CMS\CMSTemplates\CorporateSite\ templates.