This has been asked often but hasn't yet been answered by the devs
however what it does is delete (which windows will remake empty) the registry key HKCU\Software\Microsoft\Ftp\Accounts
This key stores the information that is made when you use windows explorer to connect to a ftp (file transfer protocol) site (i.e. a remotly stored website directory where you upload your website to make it live). This key has the following information: Site, Username, Password.
FTP stands for File Transfer Protocol. FTP Accounts are used for transferring files from one computer to another, like transferring Web pages from your computer to the server, for example. There's an article about it here: http://personalweb.about.com/od/ftpfileuploadprograms/a/01ftp.htm. It's one of those things that if you have it you'll know it, otherwise just forget about it.