Depends on the software, usually you just click OK and it will quarantine them.
In most software you can then go and look at the quarantined files afterwards.
The reason you would quarantine are:
1. The file is currently in use and cannot be deleted
2. You may need this file in future (although infected)
Just check in the software under Quarantined and see if the files are there
Astrophel at capitaltechmd.com, February 2009