That is the priority that the client runs at. All processes and programs have a priority level.
Programs with higher priority, take preference over those with lower priority.
Setting something very CPU intensive such as Seti to High, will make the rig go go a crawl, as Seti is taking all the CPU time, and not letting other programs get the CPU time they need to run (such as most Windows components).
Really, the Seti client doesn't need to be ever set higher than Low, let alone Normal!
Take this example:
You have a spreadsheet, which, when given all the CPU time it needs, will complete calculations in 10 secs. In a minute, Seti, when set to low, will get the rest of the 50 seconds in a minute.
If you set Seti to Normal, however, then when the spreadsheet needs to do the same calculations, it must share 50/50 with Seti. So, it will take twice as long in human time (20 secs) for the spreadsheet to do the work, as Seti will have 1/2 of that, 10 seconds. Seti will then have the rest of the 40 seconds in the minute, getting 50 seconds total CPU.
In both cases, Seti gets 50 secs, the spreadsheet 10 secs of CPU time, however with Seti set to Normal, the spreadsheet appears to take twice as long, and therefore making your computer seem slower
So, to summarise, you don't need to put it at anything other than Low,
possibly Normal, but never High!
Confused