Basically, if you have a simple if-then statement as follows:
If myInteger=4 And myString=“Hello” then
CallFunction()
End If
then your program will check both myInteger AND myString to see if they match the required values, and then proceed. If you change And to AndAlso, your program will first evaluate myInteger. If it does indeed equal 4, THEN the code will look to myString to check whether or not it contains “hello”, before it considers running CallFunction(). If myInteger is not 4, the if-then block is exited, without ever checking in with myString.
OrElse short-circuits Or statements in the same manner.
It's a simple shortcut that is quickly applied across a large application, which makes your code ever so slightly more efficient.
For more info, check out Mike Farnsworth's article on it.