When you specify this option, PGPMenu will ask you the name of the key you would like to remove from your keyring. PGPMenu will then have PGP remove that key from your keyring. PGP will prompt you to make sure you really want to remove the key.
If all goes well, your keyring will no longer contain the public key you just deleted.
When the key remove finishes, PGPMenu will wait for you to tell it to return to the key management menu.