First you should mention what IDE/compiler along with what C++ standard you are using. The compiler part is optional, but helpful if you know it.
Your question sounds like you are using some version of MSVS and the "Class Wizard" to create a new class. If that is true the box next to "Base Class" would be another class that would inherit from as coder777 mentioned.
Personally I have found the Wizard to be more trouble than it is worth, but I have never spent much time trying to understand it.