Having several calendars can often be a pain. Using these two options will help this issue. There are advantages and disadvantages to both.
Using this option will sync your website calendar with other calendars such as Google Calendar, Outlook, or iCal. As you make changes to the website calendar it will automatically update your other calendars. This is the advantage. Unfortunately this is a one-way sync. Making changes from your regular calendar will not update the website calendar. Also you will not be able to make changes from your regular calendar. Updates will have to be made from your website.
Using this option will download events that you indicate into other calendars such as Google Calendar, Outlook, or iCal. Once download you can update or delete them from your regular calendar. This is the advantage. Updates made from the website calendar will not automatically update.