Each dataset that is published gets a Digital Object Identifier (DOI). A DOI is the persistent identifier of your dataset. This link can be inserted into your paper, but you can also use it in other places, for example in your ORCID record or as a reference on a website, basically anywhere you want to link to your data. Use it to make yourself more visible and findable.
When you are submitting your paper for review, you are likely required to already provide a data availability statement which includes the DOI to your dataset. But you don’t want to release your data before your paper is published. This is why you can reserve a DOI for your dataset. This way, you have a DOI to add to your submitted paper, but the DOI is inactive. If you don’t need to reserve a DOI, one will be automatically assigned once the reviewer releases the dataset for publishing.
You can also generate a private link. You might want to do that to share your data with one or a few people that need access to your data. This could be a reviewer of your paper, or a fellow researcher you are collaborating with.