if you are on a PC only opengl and win32_gdi apply to you.
opengl is the default setting and is what your system is running in right now if you have not changed it. If you can run succesfully in opengl I would leave it that way. opengl is a form of hardware accellerated graphics and you will get the best performace out if it (assuming that your hardware can handle it). Alot of 3d apps and video games use opengl, do a little web research if you want to learn more about what opengl is.
win32_gdi mode is used generally for a workaround when you can't get opengl to work the way you want it. gdi is the windows standard for representing graphical objects and transmitting them to output devices, such as monitors. This has to be used a lot on laptops and desktop with not-so-good graphics cards (and even on somewhat good hardware when the files start getting more complex).
Also it is important to note that the graphics option is one that pro e must be restarted before the change takes place, therefore you must have a config.pro file that loads on start up for the option to work (i.e. loadpoint\text).