What you want to do is this:
1. If it is a program that you know and trust (IE, Outlook, Outlook Express, AIM, RealPlayer etc) then check the box for remember the selection you make and say yes.
2. If it is a program that you are not familiar with then write down the program name (whatever.exe) and then say no temporarily and do a Google search for that name and it should tell you whether it is a good program (meaning it's okay to connect to the internet) or if it is Spyware or perhaps a trojan.
ALWAY MAKE IT SHOW A POP UP~! That is how you keep track of what is going OUT of your computer. If you have a Trojan on your CPU you want to know if it's trying to access the internet and spread or allow a hacker access to your system.