I'm new at SW but not with AutoCAD so it would be nice if someone would confirm / deny what I am going to say.
The DXF has polylines that have a set width associated to them. Lines & polylines that do not have a width associated with them have a zero width where you can zoom in & out as much as you want and the line looks the same. The ones with width associated to them will appear thicker as you zoom because the line itself has a specific thickness. If it is set as a 1" line that is how thick it is.
When you bring it into SW and SW is asking you if you want to keep that specific thickness. Is it important or do you just need the shape and location. If the thickness is set to print bolder from a 2d drawing so it stands out from dimensions, the extra thickness is probably useless if your inserting the dxf into a sketch to make a new model. You just need to know where your extrusion or cut starts or stops, no point in bringing in extra data to calculate.
Hope that helps.
Joe got it right. It's just asking if you want to convert wide polylines to closed profiles and fill them or leave them as single stroke entities. SolidWorks geometry doesn't have an analog for polyline width.
Before proceeding, I'd recomend opening the DXF in draftsight or AutoCAD and see if the wide polylines are important.
I worked for a company where they layed out all of their circuit traces using wide polylines and I had to write some lisp automation to outline those.