Yes -- choose this option e.g. if you want to insert the menu into a DreamWeaver template or if you want to insert the menu into a frame which is displayed (in a frameset configuration) for multiple pages of a web site.

No -- choose this option in all other cases (e.g. if you want to quickly generate a simple menu, if you want to copy&paste the HTML code for the menu to multiple pages, or if you want to use server-side includes (e.g. ASP, PHP, JSP, SSI, ColdFusion, FrontPage includes) to insert the menu into multiple web pages)