If an operating system (dos) or software application is case sensitive it means a text has to match exactly. Therefore if command line text in dos is lower case then it has to be written in lower case (no capital letters). Whether saving or entering a web site URL it is case sensitive, therefore if you wanted to view this page,

http://www.internet-guide.co.uk/case-sensitive.html

and you typed

http://www.internet-guide.co.uk/CASE-SENSITIVE.html

the URL locator wouldnt find the page, because it is case sensitive.