With this setting, you can, by default, "follow" new content you've posted, "follow" when you comment or reply to content, and "follow" private messages you've participated in. When you "follow" content, you receive notifications when that item is updated in some way.
This setting will only check the "follow" box by default; it doesn't prevent you from unchecking the box on any individual piece of content.
Go to your profile by clicking your avatar (always in the top right corner of the page). Click Personal Settings. Under Notifications, choose which options you wish to enable. Click "update settings."
To edit your notification methods and frequency, go to your profile and click Notifications.