You've seen the checkbox on nearly all products from Microsoft. "I would like to improve the installation experience by sending anonymous feedback." "I want to help make Microsoft software and services even better." Checking the box is for opting-in to the Microsoft Customer Experience Program.
A lot of people skip this step. Maybe they didn't notice the box. Maybe they are like my sister and believe that the information isn't really anonymous and Microsoft is collecting all kinds of private information about them (but of course if that were true, you know the feds or the EU would be all over that).
Don't skip this step! Check the box!
Why? What's in it for you? Checking this box sends information about how a person uses the product and what problems he or she might have encountered. The information sent does not include any personally identifiable information. So, for instance, I can see someone installing Silverlight Tools had a problem installing on an Spanish operating system, but I don't know that it's Bob that's having the problem (or what other software Bob is running on his computer).
We've used this information to help find and fix some bugs in the installation process for Silverlight Tools, so keep checking that box and we'll keep making the products better.