It means you can combine two different folders with their subfolders into one submenu. To do that, open Classic Start Menu Settings and go to the Customize Start Menu tab.
Add a new Custom item. Double click the ICON of the Custom item to bring up the "Edit Menu Item" dialog. In the LINK field of this dialog, you can enter the path to two different folders, separated by a semicolon. e.g. Link: C:\My Folder;D:\My Folder
Give it a Label, icon optionally and click OK to save Settings.
See this article for screenshots:
Classic Shell 4.2.5 is out, featuring a number of changesYou can double click the icon of an existing item too, erase the "Command" field and edit the "Link" field to add two folder paths separated by a semicolon.