When you click it, you will be taken to a Picasa page that, had I bothered to read properly, sets up a Picasa photo sharing site for you online. The pictures from my blog automatically showed there and since I'm not inclined to put two and two together, I thought they were somehow uploaded from my hard drive. Being the private person that I am, I deleted them from this public site and didn't notice the warning that the photos would be deleted from my blog posts. I see you shaking your head and yes, I did have to edit each post and replace the pics (fortunately, not many).
Because I like to make mistakes like this, you don't have to. For the actual Picasa download, scroll to the bottom of the page that opened on Google and click Download Picasa. Now wasn't that easy?