This first option allows you to decide whether you want to lock your session when you switch to another user (or to the login screen).  If the box in front of this option is active ("checked"), then when you switch to another user (or the login screen), your session will be locked as if you had been away from the computer for a while, and you must enter your password to access your session again.  If the box in front of this option is inactive ("unchecked"), then your session won't be password-protected when you (or another user!) switches back.  If you've not chosen whether to lock your session when switching or not, then the session will be locked, and this option should be active ("checked").
This option is for advanced users only, or if you completely trust anyone who can log in to your computer.  Remember, if you don't lock the screen after switching, other users may come back to your session without your permission!
