This option opens the LEX Filter Factory. This is a place where you can store and construct LDAP filters:
If you are dealing with attributes which you want to be searched for in a complex LDAP filter, or if you want to have a place where you can load a filter from disk to edit it and use it later in a directory search, the Filter Factory is the perfect place for this.
Read all about LDAP Filters and the Filter Factory dialog in the manual topic Building LDAP Filters.
Another, faster way to open the Filter Factory: User the CTRL-I hotkey anywhere in the LEX main window.