Codecs needed to listen to downloaded mp3 files

It's a bit of a complicted legal mess, but to simplify things:

The code for the codecs is free to use and distribute, as the copyright license allows for it.  The technology that these codecs impliment, however, is covered under patent laws, and so you need a patent license in order to legally use them.  The warning is there to advise you to make sure you have a patent license before installing the codecs.  In some countries (not this one, sadly), software patents are invalid, and so you can do what you like.  Hense the nation-neutral wording.  And hense why the codecs aren't installed by default -- it is impossible to know what country the end-user will be in, or if they hold the proper patent licenses or not.  This "wizard" is a nice compromise --  it makes it easy to install the software for those who need it, but make it easy to avoid for those that don't.

Since you still have a valid Windows license, you should have the patent licenses to use those codecs for your personal, non-commercial use.  Not that anyone actually checks such things unless you are making money anyhow.

The bottom line: if you don't install the codecs, you won't be able to play back MP3's.  If you do install them, they will play back just fine.

Of course, you should be using Ogg Vorbis, not Mp3.  But that's a lesson for another day :D