When you load a record detail page in Salesforce, you get the top half of the page that shows the fields and information for that record, and you also get the bottom half that shows related records to the page. The bottom half, the "Related Lists", could potentially take a while to load because Salesforce has to traverse their database to gather all the related objects.
If you "Enable Separate Loading of Related Lists", you can get the top half of the page to load first, then have the bottom half of the page load afterwards.
If you do not have the option enabled, you will have to wait for the entire page to load before you can view any information.