This help page is for version 3.5. The latest available help is for version 5.4.
This action will launch any application that you specify when it is triggered by a monitor.
It is important to remember that the application is being launched by the monitoring service, which quite often runs as a restricted user (like Local System) which might not have the same HKEY_CURRENT_USER registry hive, mapped drives, printers, etc as you do. You can always configure who the service runs as from Preferences in the console application, or even configure which user is used to monitor a particular computer by right clicking on that computer in the navigation panel in the console application.
One final note: The application is started on the local computer (where the monitoring service is being run), not on any remote computer that might be monitored at that time.