Integrated Windows Authentication is a Windows-method for passing your identity and authenticating using Kerberos or NTLM, two protocols that are supported in the Windows ecosystem (and Kerberos can also be connected to non-Windows resources). Usually it's tied with your Active Directory profile and supported on internal networks (intranet). If you're logged in on your machine, then you can access the application (SAS in this case) without additional prompt for credentials.
See this for more on the general topic (independent of SAS).