Abort: kill the requesting process. Retry: jump back to the entry point. Ignore: return as if the request was OK.
Later DOS versions added the "Fail" option, which was like "Ignore", but returned an actual error code. But since most applications were not aware of that, "Fail" was pretty much equivalent to "Ignore" for a long time.
A common third-party TSR at the time was PC Magazine's SAFARI: "Stay Away From Abort, Retry, Ignore". It would retry a few times, then ignore and/or fail depending on OS capabilities.
"Abort, Retry, Ignore (and/or Fail)" was pretty much the "BSOD" of the DOS generation: misunderstood, yet useful for those who understood its code.