If you chose an report format whose associated viewer (or compiler, in the case of MS HTML Help format) is missing, this dialog will be shown, along with a button to click to download the missing application from the web. These applications are as follows.
Microsoft HTML Help Workshop
http://download.microsoft.com/download/msdnlib/Install/1.32/W9X2KMeXP/EN-US/htmlhelp.exe
Anthemion HelpView
OpenOffice.org