She's talking about the last option, "Start Weird" The little blue dot thing appears when you have a game from Microsoft installed and you can invite someone to play it online with you.
I looked through all the games that Microsoft creates and failed to find anything that starts with 'weird' so thats... dare I say... weird?
http://www.microsoft.com/games/pc/default.aspx is all the games that will give you that extra option in MSN
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