Selecting "Always" will automatically enable comment moderation for all incoming comments on your blog. You may also choose to moderate only older comments by specifying a number of days in the "Only on posts older than" setting. Selecting "Never" will disable comment moderation for this blog.Enabling comment moderation then drops down an email form. This lets you moderate comments via email without affecting your regular comment notification setting. It is optional, since you can always moderate comments through the Blogger interface.
So enable comment moderation from one of the first two options, enter a notification address if desired, save the settings, and wait for your next comment. All incoming comments will now go to a special "Moderate Comments" page, which you can find under the Posting | Moderate comments tab: