Help files have all this information:
Standard Shield checks the programs you start and the files you access. It will not allow an infected program to be started - so, the virus code cannot be activated.
Normal. Default setting.
High. In addition to the default setting, created and modified files will be scanned as well.
Outlook/Exchange - Provider Settings
This setting affects MS Outlook and MS Exchange mail clients only. For setting up the other mail clients, such as Outlook Express, Eudora etc., see Internet Mail Provider.
Normal. Default setting.
High. In addition to the default setting, even read messages are scanned on open and the heuristic sensitivity is set to High.
Internet Mail - Provider Settings
Internet Mail provider is used to protect the e-mail processed by other mail clients than MS Outlook or MS Exchange.
Normal. Default setting.
High. The heuristic sensitivity is set to High.
Script Blocking, Instant Messaging, P2P Shield and Network Shield
Normal. The setting does not have any meaning for this provider.
High. The setting does not have any meaning for this provider.
I haven't found info for Web Shield.
The computer will use more resources at High level. Normal is the best balance as David said.