For those of you struggling to enable it under WinXP, you may need to choose "Settings" first in the popup dialog and tick (with the spacebar) "Use MouseKeys".
If you happened to have multiple keyboards installed (e.g. running English Windows + your local kbd settings), LEFT ALT + SHIFT additionally switches between kbd layouts as a bonus, so be sure to disable this shortcut in Control Panel > Regional and Language Options > Languages tab > click Details > click Key Settings.
It's an accessibility feature. If you don't have the dexterity to hold keys down yourself, you can enable sticky keys and (if I remember correctly) it will make certain keys act as toggles so you don't have to do finger-yoga to hit certain key combinations.
One good one to remember is ALT+Left Shift+NumLock
Then you can use your keypad as a mouse. / and - toggle which mouse button 5 is.