DRM refers to Digital Rights Management and it has to do with restrictions on sharing your ePUB file. If you choose YES, each of our retail partners will sell the book with their proprietary copy and usage restrictions. Generally, this means that books purchased through their store will only be readable on their store's hardware, and there will be a limit to the number of machines a customer can add to their store account. If a customer exceeds that limit, then they will need to re-purchase your book to read it on another registered device. If you choose NO, then your book will be DRM free. In most cases, readers will still have to use a particular store's eReader (i.e. the Kindle to read books from Amazon), but they will be able to read the books on a greater number of registered devices.
To DRM or not to DRM... is a pretty contentious question. The trend is to sell more and more content online without it since, the argument goes, it really only penalizes the people who buy things legitimately and there's no 100% sure way to prevent online piracy. The argument for it is that it does make it a little harder to copy and upload files, and it does lock people (who haven't figured out how to jailbreak their device) into a limited number of hardware devices. So, it's really up to you. A fair account of both sides of the argument can be found here: http://en.wikipedia.org/wiki/Digital_rights_management
Ultimately, it is your decision and if you have further questions about it, I recommend that Wikipedia entry for a thorough and unbiased overview.