yes

magnets are links for files on the gnutella network. See www.magnetmix.com for some examples. You can also see what they look like by right-clicking a file in your Library, and choosing Advanced. There are two magnet options there, which are quite handy when you want to mail a link to one of your files to a friend.

So, that message was asking if you want LW to handle any link in the magnet format, so when the system sees one, it will hand it off to LimeWire for downloading.