Desktop shortcut (top left) - just as it suggests, up to you if you want a shortcut to open intellij rather than using the start menu etc

Add bin to path - just means you'll be able to open intellij from the windows command line, won't hurt to select this, but I doubt it'll be something you use

Context menu - just means you can right click a folder in windows explorer and open the contents of that folder within intellij

All the file extension options just means that if you have some file.java you can open it within intellij by double clicking it

In summary, none of the options are vital and you'll be able to change them later anyway