In principle, klik copies nothing to your system except the cmg file. One exception is configuration and runtime data that some applications look for in /etc and /var. If you are running from Live CD, then you can always answer these questions with "yes" since /etc and /var do not "remember" their content. If you are using a HD install, then I would try "no" first and if the application refuses to work, you could always try with "yes" later. Klik asks because otherwise you might accidentally overwrite your settings with the default settings (in case you klik an app that you have already installed and configured).

Greetings,
probono