If you've never used the camera, and you're fairly certain there aren't any pictures on the memory device, then it's safe to format the disk so that you set up the table of contents properly. That way the computer can read the data in the right sectors and so on. I would choose the option "yes" and follow the instructions on the screen. It should lead you to a blank disk so you can then fill it up with future pictures down the road.
If you think there are pictures on the card and you want to retrieve them, then try putting the card into a different memory reader and see if the same message pops up. Chances are there are slightly different formats that aren't being compatible in some way if this is the case.