This option links non-adjacent cells, so they act as one cell.
In this example, a cell is highlighted under the pointer. It shows '2' adjacent mines. However, the cell is linked to the highlighted '2' at the bottom of the screenshot, so the mines could be located around either of the two cells.
There is already one mine next to the bottom cell, so the remainiing mine could be any one of the unrevealed cells surrounding the cell under the pointer.
In the New Game box, you can move the 'Linked Cells' slider to choose how much linking happens in your game.