If you select "Yes" all files will locked by a .htaccess file and only users with access can download files.
Note: If you activate this option the plugin will overwrite a '.htaccess' file at the upload folder, if you use already one to protect your files. Also if you have no permalinks activated your upload dir will protect by a '.htaccess' with a random password and all old media files insert in a previous post/page will not work anymore. You have to update your posts/pages (not necessary if you have permalinks activated).