In order to make fully use of locations, you need to know how URLs are structured:
| | host | path | query | anchor |
The protocol is currently not considered when creating a note and is not discussed here.
You can imagine URLs working the following way:
For the following description, consider the choices you have for a note:
The host part of the URL is commonly referred to as the address of the whole website. If you selected for a note to appear on This website, the note will appear on all pages of that website.
If you select a note to appear on This page, it will be shown (of course for the host) for the specific path in the URL. The query and the anchors are ignored. That means, even if the query is different, the note will still show up for that URL. This is the default behaviour, as the query most often only contains temporary data.
You can make the note show up only for a specific query by selecting ...including query (?) (same for anchor and both, query and anchor).
You can also make a note appear on every website you browse by selecting All websites.
Now regarding Websites starting with:
Think about websites organized in a hierarchy, like your filesystem. Every step denoted by a slash (/) indicates another level in this hierarchy. You have the possibility to select each level and with that make the note appear on this and each subsequent level.
You will only see those options that are available to you. I.e. if the current URL does not contain a query, this option won't be shown in the list.
Normally, the anchor specifies a specific location in the current page. But as it is still the same page, it does not particular useful to store a note for an anchor. By default, the anchor is ignored, event if it is present in the URL. You have to explicitly enable it by selecting Update notes when anchor changes in the preferences.
Why would you want to do that?
A lot of popular websites use Ajax to load new content. With Ajax it is possible to load new content to some part of the page, without reloading the whole page, which makes the website much more usable. Prominent examples are Google Search, Google Mail and Facebook. For certain reasons, these sites use the anchor to specify which content was loaded via Ajax. If you use Google Mail, you can see that the URL ends with #inbox if your are in your inbox and with #sent if you are in your sent folder.
So these are cases where the anchor actually marks another page (inbox folder, sent folder). Having the possibility to save notes for certain anchors is even necessary here.