Apparently you've been caught sneaking about Skyrim, pilfering gold and soul gems and such, and now you must choose your fate- go to jail, resist arrest or pay your fine. Sheesh, if only getting arrested in real life was as easy to resolve as it is in Skyrim!
These wacky flyers have been sighted in a city that features red double decker buses (anybody wanna wager a guess from this pic?), and it appears someone has already chosen to Go To Jail. Remember-the guards are always watching, as long as you're in their line of sight, and you don't have an invisibility potion in your bag.