You uncheck the "keep aspect ratio" box when you want everything to look weird. Personally I always keep the original aspect ratio, but I guess some people might unlock it so the image fills up their entire screen, e.g. when displaying 4:3 material on a 16:9 screen.
As long as you keep your original aspect ratio locked in WinDVD, then any aspect ratio displayed will appear correctly on your CRT. Non-anamorphic discs, however, will require some Powerstrip manipulation because they're actually 4:3 even though the image is 16:9.