Display Module On All Pages is a powerful feature that allows you to install the module on one page, set all it's properties, then copy it to all pages (in the same pane). This can very useful if you are advertising or have an ad rotator... or simply want to remind everyone of something specific (everywhere). It can also be very useful as a customized Menu System. See SideBoard Menus.
Header is a field that prints above the content of the Module. This field can be plain text but also support HTML markup... so you can do Italics and such.
Footer is the same thing but displays under the content of the Module. Supports HTML markup and is useful for Picture Copyrights and such.
Start Date and End Date are for scheduling the content of the Module to appear and disappear on the page on preset dates. This can be very useful for scheduled sales, discount coupons, and even Holiday Greetings.