I've never seen that one before
It could be that the device looks for updated system utilities- the Connection Setup database holds the information for setting all the Email/MMS/SMS and Mobile Web details for the various mobile operators.
If you are connected via WiFi, you won't be charged for this data, but if you are connecting via GPRS there will be data costs involved in the download, which is what the message warns about. This is a small datafile though, so even if you were downloading via GPRS the cost would be minimal.
To be sure, turn off the Phone Radio and turn on WiFi before proceeding, then say 'Yes' to the download.