This simply means that all of the font information used to make your document look the way it does is stored in the PDF file. So no matter what fonts someone else has on their computer, they'll be able to see the file as you intended it to be seen. If you don't embed fonts, Acrobat will make its best guess at font substitution using whatever fonts are available on the reader's computer. Substitution can result in significant differences between your intended output and what the reader observes (particularly with symbol fonts), so it is best to have the fonts embedded.
To embed fonts when using Acrobat Distiller:
Start Acrobat Distiller.
Go to the Settings menu and select Job Options.
Select the Fonts tab and select Embed All Fonts.