It enables you to set the header fields for a new game. It is important to set the correct values for a game as it makes it easier to find the game later. You can set all the mandatory fields of a PGN game in this dialog, it also allows you to edit/add new tags in the Extra tags tab.
Please note you can set a date either by entering it or using the built in calendar by clicking the calendar icon. PGN dates are in YYYY.MM.DD format.