As covered in the Terminology section, a Certification Authority (CA) is an entity which vouches for the accuracy of data on a digital certificate by signing it.
Think of a CA as a notary public. You need to send an important letter to somebody so you take it to a notary public who stamps it. When the recipient receives your letter they will trust it because of the verification this neutral third-party provides.
Much like the scenario given above, the CA you create in the WebTool will sign digital certificates which are issued to other hosts and users.
To set up your CA click the Edit link under "Local Certification Authority." An example setup:
Once a CA is created it should only be deleted when you want to "start over" again. Re-creating a CA will DELETE any certificates you have issued.