This option is used to include a file with your project when you publish but not have it associated with your page. This does not embed the file into the page, but simply uploads the file to your server. This is often used when you plan to have a link to that file on the page.
The publish file is only moved to the publish location (when your publish) It is not moved during preview so if you want to link to that file and have the link work during preview, you must place a copy of the file in your preview directory.