You probably have more statements than this in the Management Studio and you run them all at the same time. Procedure creation should be the only statement in a batch.
For example the following would cause a problem
select getdate()
CREATE PROCEDURE HELLO @REMARKS VARCHAR (20)
AS Begin
print 'Hi';
End
Perhaps the easiest way to tackle this is using mouse to select the create procedurio portion and then run it. This way only the selection is executed