Hi-Q 'compressed' MP3?
Windows is just asking what program you want to play the files. Once you choose the program you want it will automatically load when you click on the file in the future.
Its not a bad idea to grab and store the files as a .wav file. You can make many copies from the .wav file without degradation. Only convert the file to MP3 when you have to but make sure you keep a copy of the .wav file for future copies.