Assuming you mean the Buddy List, this is a small but often quite useful feature. In the Currently Active Users box of the Guild homepage and the Who's Online page, users in your buddy list will have a + after their username, which allows you to quickly distinguish them. It also lets you see which of your buddies is online via Open Buddy List quick link. But perhaps its most useful function is that it allows you to quickly Private Message (PM) a number of users at once (the exact number is dependent on your User Level, if I remember correctly).
To use this feature, add a couple of users to your Buddy List: you can do this via the link in their user profiles, or you can add usernames using this page -
https://forums.totalwar.org/vb/profile.php?do=editlist. Now select Open Buddy List from the Quick Links menu. A small window should pop up, with all the members of your buddy list. It should divide them into online or offline. Check the box beside a couple of them, and then press the PM Users button.