Hi Potpourri,
It means that you are choosing the secondary data object called "CityList". See the SDK and also the xsf for info on what data objects you have.
ms-its:C:\Program%20Files\Microsoft%20Office%202003%20Developer%20Resources\Microsoft%20Office%20InfoPath%202003%20SDK\Help\infref.chm::/html/xsfelmdataObjects.htm
Hope this helps!
Patrick Halstead
Project Manager at Qdabra