Please expalin the function of the button labeled "Save and Associate"

Please expalin the function of the button labeled "Save and Associate"

One of our users was creating a new potential. In that process she also needed to create a new account and new contact. She used the "new Account" option from the lookup pop-up window to do this. When the next pop-up window opened she noticed that there were two options she could choose:

Save
Save and Associate

I have attached a screen capture of the pop-up window.

I tried creating a test account and contact using the save and associate method and I could not figure out what that option does. I look in the online help and I could not find any reference to that button.

Can someone explain the difference between these two choices?