set up on your account by your web host.
Basically they allow small 'programs' to run on the web server that FrontPage has as built in features.
These can include things like the FrontPage hover buttons, page counters and other bells and whistles.
Imagine CGI scripts and this is more or less what the server extensions are - they process instructions and their output is viewable on the web page(s) you design with FrontPage.
They are worth having on your account if for no other reason that they allow the FrontPage form handler to run, which can be used as an easy way to set up a feedback form.