The system automatically tracks messages sent and when they are read, unless the sender opts out by clicking a box next to the message before sending. "Deny receipt" means that you do not let them know in their tracked messages that you have opened and read the message. That's it. A lot of people don't even know about the tracked messages page and thus aren't paying attention when you press the deny or not.
I have a thread on the general forum stickied at the top called "Did you know?" I suggest you check it out to learn about other cool features that this site has.