This is a way to prove you do possess a particular Bitcoin address, therefore rightful owner of the account.
You can sign any message using your private key, creating an encrypted string - a signature. Once you have valid signature please follow this procedure on Security tab in order to unlock your payout address:
HINT: When signing message, please make clear what is and what isn't a part of the message, and be aware that every character, including spaces, tabs and line breaks, is a part of the message.
Depending on the wallet provider, please follow instructions how to sign a message on the links below.
This is a general information how to sign your message with your BTC address:
Bitcoin-Qt and MultiBit:
You can follow these instructions if you use some other wallets: