This is used only in Visual Basic and it's variants (ASP, VBScript, VBA).
The purpose is to force all variables to be declared. Java and C++ have this requirement already built into the language.
You are using a variable named FirstName in your program. In code, you set it equal to "Joe". Later on in your code, you refer to the variable again, but accidentally spell it FristName.
With Option Explicit set, the spelling error will be caught when you try to run or compile the program.
Without Option Explicit, Visual Basic thinks you are creating a new variable.