This option controls what happens when you right-click a waypoint in OziExplorer and choose "Open File Attachment".
GSAK Prompt: This is the recommended setting, and gives you the most functionality. GSAK displays a screen allowing you to choose your required action (online view, offline view, or search the offline database).
Cache Online: This option opens your default browser at the online page for this cache (requires a live Internet connection to work properly).
Cache Offline: This option opens your default browser with the information for this cache coming from the offline database (no Internet connection required).
Note: There is no reason why you could not convert a GPX file multiple times to meet differing needs. For example, you could have one waypoint file for when you are connected to the Internet, and another for when you are not. However, you only need to choose "GSAK prompt" to have all options available; it just means you are an extra mouse click away from your final goal.