My best guess from general experience: If the window has an "X" in the upper right corner, click on it to dismiss the window. That should cause the program to ignore the interruption (and thus continue its operation). And you don't have to figure out what the question actually means.
Indeed, it was a "Yes" to "Continue to cancel"... even my software has better messages than this! For one customer every Yes/No 'alert' also had to have a "Cancel" so that the user could not be accused of 'getting it wrong'!