By default, when you 'Build' a web site into HTML files, they are stored in the folder "C:\Program Files\V Communications\WebEasy\HTML". Generally, you can re-create the files in this folder by just 'Building' your web site again. It is possible that you may want to delete all 'Built' files not required for the current web site to save hard disk space. This is why you are asked this question.
If you have saved your own files in this folder, or you have 'Built' web sites that you want to be able to publish again without doing a rebuild, you should select "No".
If you are in doubt, just say "No", and no files will be deleted.