This dialog is displayed when you add a file into your Mezzmo library via the Add To Library → Add Files toolbar item or drag & drop the file into Mezzmo Windows from Windows Explorer.
Click OK to add the media files into your Mezzmo library,
Click this checkbox if you want to also add the media files to an existing playlist in your Mezzmo library. Click the Browse button to browse and select a playlist in your Mezzmo library.