In Netbeans (I have the 6.5 version), in the project properties under Application> Webstart there is a self-signed checkbox.
What is its meaning? When I need to use it?
Probably to do with web start security. If you look at this page you will see that web start applications run in a sandbox unless they are signed. You can choose to generate a self-signed certificate instead of a verified one such as one from Verisign or Thawte.
Self-signing is fine if you're testing but if you're deploying something to production for public use, I'd recommend getting a proper certificate.