Warning-Orphan Block File

I have a file that seems to have been corrupted somehow. Is there any way for me to recover it?!?

This is the message I received.

Warning-Orphan Block File

Project check of “Dr Dawn-joy Leong-data” folder
found 6 orphan block file(s). These files are unused by this project but belong to other projects. They are doing no harm and are small.

Please select an action
Continue without deleting; ignore the extra files this session
Close project immediately with no further changes
Delete orphan files (permanent immediately)

The first option - continue without deleting - is safe. What happens when you do that?
– Bil