This message appears when extraneous files are in the project's Media folder. These items may typically be in the Media folder for one of two reasons: they were intentionally put there, or iMovie unexpectedly quit or was force-quit while rendering a file.
Click "Trash Unused Files" to move the files to the Trash. You should select this unless you know which files are in the Media folder and do not want them removed. You can examine which files these are by quitting iMovie and clicking the Trash icon on the Dock.
Click "Leave Files Alone" to leave the unused files in the Media folder. This message will continue to appear each time the affected iMovie project is opened.