i choose #2 Continue without scanning.
i choose that because i am fairly certain that there is nothing that needs fixed on the dongle.
you say it worked fine on your previous OS, so that would make me think that the option to scan the dongle is something new in Windows 7. it does not mean that there is really something wrong with the dongle.
i will add that i recently installed Windows 7 and SB and i did not see a message like that.
if i were you i would not let Windows scan the dongle. by scanning i assume it wants to check for and fix any errors it might find.
on the Hardware/Software section of the forums, Speedbump posts:
7 has a bad habit of wanting to run a disk check on some new drives when it detects them and the results are not good for the data on the newly detected drive depending on how it is formatted.