It's perhaps a good idea until you get used to how CCleaner operates.
What it will do if you say yes is make a copy of the reg entries you are deleting in case there is a problem and you want to put them back.
They are stored by default in 'my documents' as a .reg file (it will look like a piece of paper with blue blocks on it)
To put them back just double click the file (or right click on it and choose merge) You will not see a lot happen when you do it, it's very quick.
If you do rename the file, which has the date in it if you look, make sure you put .reg on the end.
Have a read here before you use the registry section or the advanced as it takes a bit of time to avoid making those 'wrong decisions' we all seem to end up doing sometimes
http://www.internetrotsyourbrain.com/ccleanerbeginnersguide/