When you connect a keyboard (or device that acts similar to keyboard, such as a barcode scanner) to your computer, you may come across a situation where the Keyboard Setup Assistant opens. This happens when your computer doesn't recognize the keyboard you connected. Once you specify the keyboard type, you shouldn't see the Assistant again whenever you reconnect that keyboard (it should open only once per unknown keyboard connection).
However, if Keyboard Setup Assistant opens more often, such as after restarting or when you connect a non-keyboard device, just click the red close button in the upper-left corner of the window to "cancel."
In Mac OS X 10.4.1 or later, Keyboard Setup Assistant should no longer open each time you connect the keyboard or a device, or after restarting your computer (unless you add another new, unrecognized keyboard, of course).
Additional information
In Mac OS X 10.4.1 or later, when you close Keyboard Setup Assistant by clicking the red close button, your Mac assumes the device is an ANSI keyboard (and stores this in the preference file /Library/Preferences/com.apple.keyboardtype.plist). The device should then work normally, if it is an ANSI keyboard. If you have a non-ANSI keyboard device, use Keyboard preferences' Change Keyboard Type button to open the Keyboard Setup Assistant again.