By default
Data Execution Prevention is turned on for Windows programs and services only and for most users this is fine.
However, you can gain more protection by selecting the second option and DEP will now work for ALL programs and services on your computer.
BUT this is know to generate some error messages as legitimate software can conflict with DEP.
If this happens, you get a warning dialog box on your screen informing you of an error and the software you are trying to use will not start.
If this was a nasty piece of software lurking on your computer then DEP will have done its job. BUT if it happens to you when trying to work with some software you fully trust, this can be a problem, but fortunately there is a solution...
...you will need to tell Data Execution Prevention to ignore the software you want to use!
(Note: The DEP error message should always tell you which software caused the problem and who the publisher is, if you do NOT recognise the information provided then suspect fowl play and seek the advice of a more experienced user/technician....)