Based on your selection you may either see the instructions to set a CNAMErecord or see a link to the option Add a CNAMErecord. Follow the instructions to add the specified CNAMErecord to your domain’s DNS configuration.
You’ll need to add a CNAMErecord with the name provided to the value verify.bing.com. If you don't yet have a Bing Webmaster Tools (BWT) account, now is the perfect time to sign up. Like Google Webmaster Tools (GWT), Bing's Webmaster Tools...
A "CNAME" DNS entry allows you to point to another domain entirely, masking it with your domain. You can set a subdomain on the same server, or use an "A" record DNS entry to point the subdomain to another server's IP.