I just want to do some simple projects in Visual Studio 2015 (for a college project), and this popped into my eyes and I don't know what it means and what should I do. Until now I chose just to pass these options (cancel), but I would like to know in which cases (what kind of projects) these options of source control would represent a big benefit (or a must to use) and maybe you could tell me which one of these two options should I use.

It's asking you if you'd like to use one of a couple of well-known "version control" systems for storing your code and keeping track of the changes you make to it.
It's probably worth reading up on the general principles of version control (plenty to be found on Wikipedia, Microsoft websites etc) and seeing whether it's worth it for the projects you want to do.
Version control can be very powerful but it can also be very complex. It will allow you to see exactly what you changed in your project and code files, and when, each time you update them. You can compare the differences in a user friendly way, you can go back to older versions if you made a mistake, and you can even create multiple versions of your code and share the core features easily between them. If you need or want that then great, go for it. If you're just doing some small, short projects for personal use then maybe just making a backup of your files from time to time will be sufficient.
Hope that helps.
If you don't know what this means, then you can skip it for now. Then come back and learn version control later because it's a good thing to know about. And a must-know for a professional.
If you must choose one, choose git. It's quickly becoming the industry standard and it's completely free. Everybody uses GitHub; I've never even heard of TeamFoundationVersionControlHub
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