It means the system is trying to find the boot device. Since you had a BSOD I would run diagnostics as your HDD/SDD may be having problems. That would be tap F12 at boot and watch for any errors especially drive errors. 
Had a BSOD. Now it says checking media presence and then it freezes on the Alienware loading screen. Would anyone know the problem? Is it some hardware issue? 
Aurora R8, checking media presence