Run allows the insertion of custom code of any type, such as javascript, CSS, and more. Custom code may break your website if not done correctly, so proceed with caution.
Custom code can be added per page on that page's Page Settings sidebar, or sitewide in the Custom Code and Scripts section of the Site Settings page.
Custom code will not run in the CMS, so you won't be able to see the effect of the code until you publish and view the live site.