It means that the programme that you're watching is part of a series and if you set the link then you will either be prompted to watch the next episode or record it automatically for you - depending on what options are available and what you choose. It will also then perform the same action on all successive episodes.
There is a glitch which sometimes manifests itself on some receivers (my terrestrial box for instance!) where selecting the option to record a programme and the rest of the series will do just that but also every occasion that the programme is repeated during the week - i.e.the +1 channel and any transmissions on affiliated channels (5US, 5Life, More4, E4, etc and then their +1 duplicates) so I can easily end up with four copies of the same edition. Doesn't half fill the hard disc up quickly that way!