An IP Address is like a telephone number, or a street address, for your computer - any time you connect to the Internet, your IP address is used to make that connection. If you go to "www.google.com", your computer first translates this to an IP address (e.g. 184.108.40.206), then sends a request to that address for a web-page; when the www.google.com computer receives this message, part of it contains your computer's IP address so that it knows how to send the web-page back to you.
CellSecurity is a type of program known as an "IP Filter". It lives way down deep inside the networking code on your computer - the stuff in Windows that actually makes/receives network connections for you - and inspects everything that flows past it. It looks at the IP address this network "packet" is coming from and which application requested for the connection, and compares it against a list of "bad" ip-addresses and other rules you configured in CellSecurity; if it finds a match, it doesn't let that network packet make it through to the rest of your computer. It also looks at the IP address your network packets are going to, and does the same thing.