The Mark Weekends option will highlight non-working * days such as Saturday and Sunday on the Daily Scales. It will also highlight the non-working hours e.g. between 19:00 and 08:00 (every day) on the hourly scale.

When unselected, weekends will not be marked.

*If you are using WSS3.0 / MOSS 2007 then Planner will pick up these settings from Site Settings > Regional Settings > Define Your Work Week. If you are using WSS2.0 / SPS 2003 then the defaults will be used.

Regional Settings in WSS3.0