You are getting this pop-up because there is a risk that you may overwrite a file that is checked out.
There are two types of warnings for this action, they are Potential Overwrite - ANOTHER USER and Potential Overwrite - YOU.
Potential Overwrite - ANOTHER USER
This means that someone else has checked out the document that you have selected to open using the Captisium Universal File Handler. You may, therefore, not have the most current version if the user is working on the content of the file.
Potential Overwrite - YOU
You currently have the file checked out. This may be because you are editing the document somewhere else or you haven't checked the document back in again. In any event, there is a chance that you will overwrite your own work if you are still editing the document elsewhere.
The safest thing to do depends on if the Overwrite is YOU or ANOTHER USER. If it's YOU and you know that you don't have the document opened elsewhere, this may be a failed check-in from a prior edit, and you can simply continue to open the document.
If the Overwrite is potentially ANOTHER USER, it may be courteous to check with the OTHER USER to find out if they do in fact have the document open and are working on it. They too may have had a failed check-in or simply forgotten to check the document back in when they lasted edited it.
You can see who has the document checked-out by hovering your mouse over the check-out icon associated with eh file in SharePoint.