A debugger is a software program which allows you to inspect the internals of (another) software application while it is running, or in this case, when it has crashed. The system is telling you that a piece of software (whose name should appear in the error message) has caused a fault and is offering you the opportunity to analyse why this happened. Unless you are familiar with software development on the Windows operating system, the answer to the question "Do you want to debug?" will almost certainly be "no."
Normally such faults are handled automatically by a little program called Dr Watson (supplied with the operating system.) Dr Watson can be used to record information which can help software support staff with diagnosis of the problem which is causing the crash. Depending on what other software is installed on your system, you might be offered the opportunity to do the diagnosis yourself - as in your case.
As for what to do - you could either research the problem yourself on the technical support site for whihcever product it is you are using, or call the manufacturer of the program in question and tell them exactly what you were doing when the fault occurred and ask for information on how you can resolve the fault.