When you delete a project from a project suite, you specify whether you wish to simply exclude that project from the suite or delete the project from the disk. In the latter case, TestComplete checks the location of the project files on the disk before deleting them, and if it detects that some of these files are located outside of the project folder, it displays this message asking you how to handle these files.
It is likely that these files were imported to the project via Add | Existing Item and are also shared among other test projects in your project suite or within your team. In this case, it is recommended that you do not delete these files.
If you are sure that these files are not used in other projects and are no longer needed, you may choose to delete them.
See Also
Deleting Projects
Sharing Project Items and Their Child Elements Among Several Projects