To keep a copy of the message you send, activate the checkbox next to "Save". The destination mailbox will default to the mailbox selected for this purpose under "Options->Personal Information->Identities". Your administrator may also allow selection of an alternate sent mail destination chosen via a drop-down list located next to this option.
Saving copies of important e-mails you send could be useful for record keeping of what was discussed. This feature can be activated by default by going to "Options->Personal Information->Edit your identities". In your options you can also setup maintenance tasks that empty or rename these sent mail mailboxes periodically.
You may not want to save every e-mail since you could have problems with your disk storage quota being used up quickly, especially when you send large attachments. A mailbox with full storage quota will not be able to receive new incoming e-mail.