When this option is enabled, the last device that requested or renewed a DHCP lease will be placed in the so-called DMZ (Demilitarized Zone). What this means is that any connection made to your mobile device that is not picked up by your mobile device itself, or routed elsewhere due to port mappings, will be routed to that device. You can see which IP is currently in the DMZ in the "DHCP status" window.
This option is enabled by default.
Note that this option has no effect on some combinations of devices, ICS and Windows Mobile versions.