It depends on whether you have the normal 32 bit version of Windows, or the snazzy 64 bit version (which you would only have if you have up-to-the-minute 64 bit hardware). X86 is the normal 32 bit hardware such as Pentium dual-core, Celeron etc.
Right-click on "My computer" and select properties. The page displayed will tell you the version of windows you have - I must admit I've never seen a 64 bit version, but I'm assuming it would tell you there if you were running the 64 bit version of Windows.
If in doubt, use the 32 bit X86 version.