This option lets you save your current connection settings to an LDAP connection profile so that you can choose this profile easily to open a LDAP server connection later on.
There is a hotkey for this menu option: CTRL-S.
In the New Connection Profile dialog, you can configure the name of the connection profile and if the currently used credential password should be included in the profile:
The LDAP connection profile will be saved in the Profile and Filter Storage Path. The profile files are stored there with name 'LEXProfile-*.ini'. They are binary encrypted with the Rijndael algorithm (AES - Advanced Encryption Standard). So if a user password is contained in the profile, it is very well protected against disclosure.
Another effect of saving the connection profile: Next time you start LEX, the last used connection profile connects automatically. This behavior is set by default and can be changed with Tools - Options - General.