When you connect to a remote host computer for the first time, the host sends your local computer its public key in order to identify itself. To help you to verify the host's identity, the Host Identification dialog displays a fingerprint of the host's public key. The fingerprint is represented using the SSH Babble format, and it consists of a pronounceable series of five lowercase letters separated by dashes. If you have reason to suspect that the public key you have received may be forged, you can for example phone the system administrator of the remote host computer and check if the fingerprint is correct.
You can save the host key on your local computer by clicking Yes. This is the recommended action. If you save the host key, you will not have to answer this dialog again when connecting to the same host from the same computer.
If you do not want to save the host key, click No. You can connect normally, but the next time you connect to the same host, the remote host will send you its public key and you will be asked again if you want to save the key on your local computer.
You can also cancel the connection attempt by clicking Cancel. This results in an authentication failure, and the connection will be canceled. The host key is not saved and your local computer will not be connected to the remote host computer.