You can read a bit about this feature on the
Help pages.
This is one of the two ways you can create your own puzzles. The other one is by generating a random puzzle on one of the daily puzzle tabs. But in Your Puzzles, you have a few options in creating the puzzle, and you can share the puzzle with other players.
One of the options is to input your own letters, as mentioned by yelnats and mkenuk. "Alan has thought of everything!" Probably not everything, but I try to think of every low-down, underhanded scheme some unscrupulous player might attempt!