By the time you install Mandrakelinux, it's likely that some packages will have been updated since the initial release. Bugs may have been fixed, security issues resolved. To allow you to benefit from these updates, you're now able to download them from the Internet. Check Yes if you have a working Internet connection, or No if you prefer to install updated packages later.
Choosing Yes will display a list of web locations from which updates can be retrieved. You should choose one near to you. A package-selection tree will appear: review the selection, and press to retrieve and install the selected package(s), or to abort.