Its what it says it is. It allows you to for example surf the net, write an email or use something like itunes or winamp while fm is still running. To get the game in windowed mode right click on your desktop icon if you have one (and if you havent create one) then select properties and select the shortcut tab then look for the target box and add -windowed -small_screen to the end of the line so that it looks like this "C:\Program Files\Sports Interactive\Football Manager 2010\fm.exe" -windowed -small_screen then click apply.
Start up the game then select preferences then display and sound then in display mode select windowed. The game should now be windowed.