If you plan to use the more advanced features, select it. This puts a menu on your menubar which lets you open, close, and set-up a PPP connection with greater convenience. Not everyone has a control strip. Menu and FreePPP Control Strip are conveniences. They make the act of opening and closing your PPP connections simpler.
Installation is optional.
An Apple guide module for online help. Go ahead and select it. These contain legal information and some help information. Unless you really want these installed, deselect them. When all the needed files are selected, click the Install button.