I found it better just to accept it.Then you don't get that message all the time.Mind you I normally use Incredimail nowadays.Anyhow that does not answer your question.I hope you get the advice that you need.
It does this after (I think) every one-hundred uses of OE. You can't stop it, as far as I know, and it will keep reminding you until you accept it. Don't try to use the computer whilst it is compacting.
When you delete a message in OE it isn't actually deleted, just flagged as deleted so it doesn't appear in the list. Compacting removes these entries that are just wasting space. Your OE folders should open more quickly for one thing.