You often don't have a choice, and it's not something to worry about. It means that the mortgage lender will require funds for your home owners insurance (and usually property taxes as well) to be placed in "Escrow". The account will be held by the lender directly, so they take the money monthly along with your mortgage payment all in payment. Then, when your insurance bill is due, the lender pays the insurance bill from those funds. Same thing when taxes are due.
When you sell the home, the lender will send you any remaining money in the escrow account. A few lenders do have trouble remembering to pay those bills, so always read your mail from the taxing authority and the insurance company to make sure they are paying the bills on time.
Best of luck!