There will probably be times when you want to stop Mathematica in the middle of a calculation. Perhaps you realize that you asked Mathematica to do the wrong thing. Or perhaps the calculation is just taking a long time, and you want to find out what is going on.
When doing some operations, it may take Mathematica some time to respond to your interrupt. When Mathematica does respond, it will give you a menu of possible things to do. This will typically include not only aborting your computation, but also entering a subsession or "dialog" to inspect its state.