Besides of RGB(Red-Green-Blue) properties of color, PNG files may contain one more property - Alpha channel that keep information about transparency. For example if you draw in GIMP solid black circle on white background then regardless where you put this image on top of any other - background of black circle will still the same - white, but if you choosed transparent background instead of white, then when you mix it with other images - the only black circle will be constant, background would be filled with mixed image. Transparency can be adjusted as one need by changing opacity.
So, windows's paint warn you that after editing you will loose alpha channel(transparency).