The matrix shows mathematical correlation between any list of markets which you select, over your choice of timeframe and number of bars. This helps to identify combinations of trades which may be riskier than expected because, in effect, you are placing one large trade instead of two indepedent trades.
Correlation is on a scale of +100 to -100. A value of +100 would mean that two markets have moved identically. A value of -100 would mean exactly opposite movements. A value of zero means that the markets have moved completely independently.
Strong correlation means that you may not have the trading risk which you expect. For example, if EUR/USD and GBP/USD have correlation of, say, +90, then, if the correlation persists, trading both those markets will be similar to placing one big trade instead of two independent trades.
If there is strong negative correlation, e.g. -90, then it is potentially similar to having no trade at all: the markets will move in opposite directions, and you will tend to see a profit on one trade and a loss on the other, cancelling each other out.
As a general rule, it is best to concentrate on trading combinations of markets with weak correlation, so that you have a "basket" of independent trades rather than a smaller number of bigger bets. The matrix provides an option in its toolbar for quickly highlighting strong or weak correlation in the grid.