If you wish to downld a magnet link, then LW will downld it for you. You'll be asked that question if you have another p2p program that wants to be your magnet handler. eg: Try any of the free and legitimate files from http://magnetmix.com/video.shtml

You can also create your own magnet links & send them to friends. They can type the magnet link into their browser address bar & then LW will start downlding the file. Little like direct connecting in a way I guess. But of course if they're downlding from you then they can probably browse you also.