I assume you're shooting Jpegs. The colorspace (gamut, or range of colours) is chosen in camera, and is locked into the image. The Adobe RGB colorspace has a larger range of colours than the sRGB colorspace. Most screens and printers can't display or print Adobe RGB as they are the smaller colorspace sRGB. Photoshop is warning you that the image you want to edit is not the same colorspace that the program is using to edit in, Some people like to edit an image with the larger colorspace to have more information to edit with.
When you try to print Adobe RGB images on a sRGB printer (most printers only print in sRGB) the range of colors have to be reduced and so sometimes can appear duller than what you saw pre- saving/printing.
Until you are aware of the positives and negatives of Adobe RGB, and how to edit with them, I would advise sticking to sRGB for less hassle. So for this pop up, I would choose 'Convert document's colors to the working space'.
You could change the colorspace setting in the camera to sRGB to stop getting the message.
As an aside, if you were shooting RAW, you choose the colospace when you save as a Jped or Tiff.
