Hi,
The fuse bits dictate the action of a few of the onchip characteristics or so to put it. eg. You have to set fuse bits to tell the AVR if RST should be used as reset pin or should it be tied internally, if watchdog timer will be on or off, if brown-out reset should be enabled or not and the level at which it occurs, the oscillator settings, startup time, etc.
You need to set the fuse bits in the compiler or the programmer, whichever necessary. eg. in mikroC, you can set the fuse bits from the compiler and when programming, the corresponding fuse bits are set, but in some other compiler, you may not be able to do it through compiler. Then you have to set it through your programmer.
If you don't set it, then, it depends on the programmer. The programmer may assume that everything should remain in default state, and set the fuse bits accordingly, which won't be a problem, or it could set everything as 0 or 1 which would render you with a useless AVR for the code you wrote and you would need to rewrite the fuse bits again.
In practice, always set the fuse bits. In the datasheet, go to the "Memory Programming" section and read it thoroughly. That should make things quite clear. If still you are unclear, then post again and I'll try to see how I can help.
Hope this helps.
Tahmid.