If you have a slip connection, this is a must. SLIP provides an Internet connection for people who connect via modem. If you have a network, either Ethernet or LocalTalk, connected to the Internet, you don't need SLIP.
The easiest way to understand SLIP is to pretend that you don't have water service inside your house. Every time you want to take a shower, you must run a garden hose out to the water hookup outside, take your shower, and then reel the hose back in. That's exactly what SLIP does -- it establishes a temporary, low-speed connection to the Internet. You must create that connection before you can run programs such as MacWeb and Fetch.