It means that you've clicked on something (which could be a dodgy link on a website, an attachment in an email you've received, or something else) which has resulted in your computer downloading a file containing something that you probably don't actually want or need onto your computer. That PUP (= 'potentially unwanted program') might be one that puts pop-up ads onto your screen or perhaps one that adds an unwanted toolbar to your web browser.
However your security software has spotted the dodgy file and kicked it into 'quarantine', so that it can't do anything nasty to your computer.
So, since your security program has already sorted out the problem for you, you don't need to do anything at all.