When you hit ctrl-alt-delete while logged in, you get the dialog which allows you to open the task manager. When you hit that sequence while not logged in, you get a login dialog box.
The idea is to prevent some buttmunch from logging in and then starting a program which LOOKS like a login screen, but which actually stores your username and password and terminates, leaving the other desktop behind. This could allow someone, for example, to read the root password when the admin "logs in."
If such a program were running, the ctrl-alt-delete would bring up the other dialog box, and you would know something fishy was up.
It's actually not a bad idea. Linux also has support for this, but you need to compile it into the kernel, if I remember right, and it is experimental.