It refers to a Folder Data Connection. So if you in Sense create a Folder Data Connection, you can later reference files in this folder using the name of the connection (in this case 'Executive Dashboard Data'). In this way you isolate direct access to the file system. It may not be that much of interest when running locally in desktop (why bother, when I can just simply use Windows Explorer to access data anyway?), but when deployed on a server, the server admin can define Folder Data Connections, preventing users from gaining direct access to the file-system, but still get hold of data required for building apps.