This is the fifth of Arjun’s sixteen questions.  Shree Krishna praised both the renunciation of works and work with devotion.  Arjun is confused by these apparently equivocal instructions and wishes to understand which of the two is more auspicious for him.  Let us review the context of the question.
The first chapter described the nature of Arjun’s grief and created the setting for Shree Krishna to begin to relate spiritual knowledge to him.  In the second chapter, Shree Krishna revealed to Arjun the science of the self and explained that since the soul is immortal, nobody would die in the war, and hence it was foolish to lament.  He then reminded Arjun that his
karm
(social duty) as a warrior was to fight the war on the side of righteousness.  But, since
karm
binds one to the fruits of actions, Shree Krishna encouraged Arjun to dedicate the fruits of his works to God.  His actions would then become
karm-yog
, or “united with God through works.”
In the third chapter, the Supreme Lord explained that performing one’s duties is necessary because it helps to purify the mind.  But He also said that a person who has already developed purity of mind is not obliged to perform any social duty (verse 3.17).
In the fourth chapter, the Lord explained the various kinds of sacrifices (works that can be done for the pleasure of God).  He concluded by saying that sacrifice performed in knowledge is better than mechanical ritualistic sacrifice.  He also said that all sacrifice ends in the knowledge of one’s relationship with God.  Finally, in verse 4.41, He introduced the principle of
karm sanyās
, in which ritualistic duties and social obligations are renounced and one engages in devotional service with the body, mind, and soul.
These instructions perplexed Arjun.  He thought that
karm sanyās
(renunciation of works) and
karm-yog
(work in devotion) have opposite natures, and it is not possible to perform both simultaneously.  Hence, he raises his doubt before Shree Krishna.