A lot of folks are perplexed by parallax and simply leave the knob alone. You don't need to worry about it if you're plinking or firing at close range targets. However, just so you're aware, here's a definition of parallax.
You can use a setting called parallax to help you focus. Yes, it is distinct from the real focus dial located near your eye.
Your reticle will adjust to the target objective as a result of the parallax. This means that, unlike focus, which varies from shooter to shooter, the distance between the target and the reticle is more important.
The issue arises because it's impossible to remain perfectly dead-center behind your rifle! When you hold your rifle still and stare through the scope at a distant target, your reticle will shift around on the target if you move your head slightly left or right. The parallax shift is the name given to this movement, and your parallax adjuster will allow the reticle to appear on the same plane as the target, thereby erasing it.