Typing *dt really means "per second" for all practical and non-ridiculous intents. It is a way to make sure the game moves at just about the same rate regardless of performance. For instance, in a non-dt setting, typing Every tick: set X to object.x+5, it will add 5 to the object's x position every tick. Unfortunately, the rate of ticks between computers can vary quite a bit.
So we would use dt instead. Every tick: set X to object.X+100*dt so it will move 100 pixels per second regardless of framerate (in nearly all cases). It works for all number values, so you can do the same thing with opacity, scale, scores, etc. And, since you now have a global value incorporated, you can change the rate of movement for everything (think slow-mo) by just changing the dt value at runtime in the system expressions. But the most common use is for smooth and consistent movement across different computers/platforms.
Edit - Ah Cow ninja'd me.