I recently upgraded to Excel 2010. I was working on a spreadsheet and wrote some code and went to save it and I get this box that pops up. I’m not sure what to do.

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From Office 2007 on, Excel has two different file types: XLSX and XLSM. The former is just data and formatting without macros or anything “dangerous.” The latter allows macros and other programmatic functionality. The reason for the split is mainly security as each one has a distinct extension and icon to better inform the user on whether or not the file could potentially contain dangerous content.
In this instance, you need to click No, then in the Save As… options select “Excel Macro-Enabled Workbook.” That will give you the full functionality of the original document.