I have learned the hard way what "Change" is. When I used the same wallet on many computers.
That is a big NO NO in the bitcoin world and I had thought someone had stolen my money when one day my wallet was empty.
You see when bitcoins are sent out the bitcoin program sends some coins back to you this is called "change". Some times the bitcoin software will send all the coins out you have as one transaction to many people (you can pay more than one person in one transaction) and the "change" is the returning value minus what was sent to the individual you intend to send.
So for example lets say I have 1 bitcoin and I send 0.05 bitcoins to you. The bitcoin software could send all 1 bitcoins out in one transaction with two recipients one is you for 0.05 and the "change" of 0.95 goes back to me on another bitcoin "address".
When the software sends out the transaction it could use a new "change" address that my other bitcoin wallets do not have thus making look like my 0.95 was sent out along with the other 0.05 BTC.
This very thing happened to me and I freaked out.
A simple Rebuild got my bitcoins back.
So what you really want to know is what do you do with this "change" address option? Well, lets say you wanted to keep all your coins at address 1DrucP7CraowYanGedAzdvWHsw33SrMbmD but use them from time to time. The reason you may want to keep them at one address is to see how much you have at any block explorer site that allows you to look up balances on an address. Thus you may want to specify that all "change" goes to 1DrucP7CraowYanGedAzdvWHsw33SrMbmD address.
Hope that helps