It means: If you have an existing ebook library, with whichever folder structure. And you ask Calibre in import it, it will go ahead and copy every single file

It means: If you have an existing ebook library, with whichever folder structure. And you ask Calibre in import it, it will go ahead and copy every single file from your folder structure in to its own inside "My Documents" (or one of the other user folders, can't remember.