This indicates that the movie you chose is an On Demand movie that requires downloading to your DVR playlist. Selecting Record begins the download. You are not charged for the movie until you actually start watching the movie and confirm your purchase.
When you're ready to watch, just press LIST on your remote control to go to your DVR playlist. You might see a progress bar next to the movie title. If the progress bar is yellow or green, that means you can begin watching, even if the download is not complete.