Customer not interested
Set the Lead as Done.
Customer is interested
If the Lead (unqualified deal) is qualified enough to become a qualified deal (according to your criteria) you can convert the Lead to a qualified deal.
When converting a Lead the qualified deal get all the info from the Lead (Account, Contact, Product group, User). If you have connected a specific Sales process to the product group you also get a suggested sales process to apply.
By converting Leads to Opportunities you get tracking of how you convert Leads.
You can also convert a lead directly to an order. This is recommended if you are working with short sales cycles.