The Hosts file on your PC is like a library or database containing specific information, in particular, remote host IP addresses that your system uses when carrying out tasks over a Network or when using the Internet.
Some Spyware/Adware/Malware programs affect your system by making alterations to your hosts file to suit their own ends which can result in problems for you that manifest themselves in various ways. What your Spybot program wants to do is make your hosts file "read only" which means that the data in it can only be read by the system and cannot be changed by any program.
If you don't know what the hosts file is or actively modify it yourself in any way, then I recommend that you allow it to do this. In most anti-spyware programs you can choose to undo any changes anyway, so you shouldn't have any trouble in the unlikely even that you need to unlock it again.