Many applications have user input that should be somehow preserved in order to be restored when the application starts again. This includes preferences, URLs, general information, and whatnot. As in any other .NET application, a Windows Phone 7 application supports application settings.
Although the concept is similar, the way it is implemented is a bit different compared to regular console applications, for example. The way you are used to access them is through Properties.Settings.Default or through the Application Properties dialog. Both of these options are not available in a Windows Phone 7 application.
Instead, you should use IsolatedStorageSettings.ApplicationSettings, which is a member of the System.IO.IsolatedStorage namespace. The application settings are stored in a local application-scoped file that can, in fact, be created via IsolatedStorageFile.GetUserStoreForApplication().CreateFile(path).