I guess you are new to Jazz? Welcome!

In responce to your question, "Internet Play" Is the one you want if you want to play on the internet, the other option (I can't remember it right now) is for if you want to set up a game on a Local Area Network (LAN).

Either of these has two options: A server or a client. Server basically means you host the level, and other computers will connect to you to play. Client is the other way around: You connect to another player who is a server.

I tried to explain it best I could, but here's some more help if you need it