The dimension which you have selected has multiple alternate hierarchies available for the same dimension. The Select Hierarchy dialog allows you to choose one of the alternate hierarchies available. To select a particular hierarchy, click the radio button next to the hierarchy you want to use, then click OK.
After you have selected a particular hierarchy, the selected hierarchy will be used to represent that dimension until the dimension is moved back into the Other axis of the Data Layout Panel. When you move the selected dimension to either the Row, Column, or Page axes, you will have to select a hierarchy again through this dialog.
Example: A Time dimension might be organized according to either a fiscal year or a calendar year. In Alphablox, these hierarchies may be represented as two choices: Time (Calendar) and Time (Fiscal). Selecting "Time (Calendar)" would display the Time dimension according to the calendar year (for example, months in order from January through December for a particular year). Alternatively, selecting "Time (Fiscal)" may result in months being displayed according to a particular corporation's fiscal year (e.g., July of one year to June of the next year).