From Joomla! Documentation
- Module Assignment. Select On All Pages, No Pages, Only on the pages selected or On all pages except those selected from the List.
- Menu Selection. If the latter two options are selected a list will show all of the menu items. This allows you to assign modules to some but not all pages, and by selecting the menu links that you want the module associated with you can customize on what pages modules appear/don't appear. See How do you assign a module to specific pages? for more information.