A pinned square is one that is the only place a particular number can go in a row, column or 3x3 block and is basically the full version of intersections. Although this technique is more easily demonstrated with pencil marks, they are not required to implement this technique.
For example, by using 'Show squares with a...' and selecting <1>, it is clear that R9C5 must be a <1>. It is the only place the <1> can go in Block8 and so <1> is pinned to R9C5.
Using 'Show squares with a...' and selecting <5>, <5> is pinned to R2C8 as this is the only <5> in R2. Similarly. <5> is also pinned to R3C6 as it is the only <5> in Block2.