A profile is what Outlook uses to store settings for your e-mail account.  These settings can include how Outlook sends and receives mail and also where the e-mail is stored.

This window is opening because your user account on this workstation has more then one Outlook profile and a default profile is not selected.  One way to prevent this window from being displayed is to select a default profile.  To do this open Outlook and when the window opens that asks you to select a profile select the profile you want to use from the drop down and then check the check box next to "Set as default profile", if you do not see this check box you will need to click the "Options" button on the window then check the box.