If the toggle switch is turned on, when you are online the Private Browsing component detects data collection attempts by tracking services. Tracking services use the received information to analyze your activity and can use analysis results to show you relevant advertisements.
Clicking this link opens a window in which you can specify the categories of tracking services for which you want to block or allow data collection. From this window you can proceed to creating a list of websites on which you want to allow tracking.
If the check box is selected and blocking mode is enabled, when you visit a website the browser sends the "Do Not Track" HTTP header to the website, which means that tracking of your activity is not allowed.