The wording for that is so stupid. I guess it is the only part of mac os x where I find myself confused.
It is something like:
You updated this app, do you want that the new version access the current keychain or not? some bla bla yada yada... and then there are two choices but neither one is Yes and No. This is when panic starts.
One choice translates to delete and the other keep. But I don't know which one is which.
The last time it happened I closed my eyes. The good thing is that I have a .mac account and I keep my keychains backed up... I think.