Just hold the cursor (a hand) on this option and you'll see the answer right there.
This checkbox marked means that the software will start to read the clips you want to play, directly from the HDD, when loading them. This way the clips will appear to the screen faster, but if your machine is not fast enough, don't use this option.
Unmarked this option means that the clips will be loaded into memory first and software will read them from the memory. Delay between the show clips will be a little longer perhaps, but they will play smoothly, with no problem.