I'm not completely sure, but I believe it gives you a link to a particular post which will appear in it's own window (rather than as part of the thread).
I actually can't find the option now, I know I've seen it and experimented in the past.
There is also a number for each post at the top near the red/yellow infraction icon which is a similar link to a specific post in a thread, but that one displays it in the thread rather than as a post on it's own.
I usually have used both by right clicking on the number or on the permalink name and choosing "copy URL" or the equivalent (exact wording depends on the browser you are using). It can then be pasted where you want to save/post it.
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