Hotlink protection will prevent other websites from directly linking to files from your website. Other websites will still be able to link to any file from your site if you haven't specified it (e.g., HTML files).
An example of a hotlink is using a tag to display an image from your website elsewhere on the internet. The end result is that the other site is stealing your traffic. You need to ensure that all the websites you want to allow direct links from are listed on the 'Hotlink Protection' page, which you can find in cPanel under the 'Security' menu.
This system will try to automatically add all the websites you own to the list, but you may need to manually add others.