If you enter a command line in this box, then PuTTY will run that command as a subprocess, just before making its main outgoing network connection.
This could be useful if you are connecting to a server that is usually switched off but can be turned on remotely on demand, e.g via wake-on-LAN. If you have a script that will perform the wake-up action, you can enter its command line in this box. (You should also make sure the script waits to terminate until the target machine is switched on and actually ready to receive an SSH connection.)
Another use might be a server which requires a preliminary signal such as ‘port knocking’ before it will accept a connection to its SSH server port in the first place. If you have a program that knows how to send the correct knock, you can enter its command line in this box.
In the command string, the special strings %host and %port will be replaced by the host name and port number you want to connect to, similar to specifying a proxy command; see section 4.16.5 for the full syntax.
The results of running the program will be logged in PuTTY's Event Log. So if it terminates with an error message, the Event Log will show the message.