This is the currently selected MIDI output device. Only one output device can be used at a time. The application requires an output device in order to play the sequence, and if one isn't selected, playback is disabled. The default output device is the GS Wavetable Synth that ships with Windows.
The output device can be hardware, such as a MIDI-capable synthesizer or drum machine. Some hardware instruments connect directly to your computer via USB, whereas others require a MIDI interface. In either case you may need to install driver software, depending on the device. Multiple devices can be controlled, either by daisy-chaining them together, or via specialized MIDI hardware.
Alternatively the output device can be software, such as a software synthesizer or Digital Audio Workstation (DAW). The audio software may create one or more MIDI ports that appear in Polymeter's list of output devices, but if not, you'll need to install a virtual MIDI port, such as Tobias Erichsen's loopMIDI.