TestComplete displays this message when you are deleting some project item (or items) whose files are located somewhere outside of the project’s folder. These items are displayed with the mark in the Project Explorer panel, for instance:

Often, these are project items that are shared among multiple test projects. In this case, deleting the item from disk will make the other projects non-functional. So, TestComplete displays this message to warn you about possible danger and ask for your confirmation.
Before deleting the project items, it is recommended that you check that they are not used in other test projects. If you do not know whether the item is shared or not, ask your colleagues or team leader.
Note that instead of deleting a project item, you can simply exclude it from the project. The item will not belong to the project, but it will remain on the disk. So, you can delete its files manually any time later or restore the item, if necessary. To exclude an item from your project:
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Click No in the current message box to cancel the deletion.
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Find the desired item in the Project Explorer panel.
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Right-click the item and choose Remove from the context menu.
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Select Remove in the subsequent confirmation dialog.
See Also
Sharing Project Items and Their Child Elements Among Several Projects
About Project Explorer
Project Explorer - Common Tasks