The slug line is a convention found in any professional screenplay. Its purpose is to describe, briefly, the setting for the scene's action; this consists of the setting (INT or EXT), geographic location (if applicable), general location, and the time of day or night. Usually (read: always) capitalized.
For example:


Usually the slug line is followed by some more integrate description in paragraph form.

Light from the monitor bathes our hero's face as the tension in the room grows, his face is expectant, knowing that he is very near the solution. Strewn about the room are cables of every description. Patch panels and antiquated equipment line the ill-lit walls like eerie eggshell-coloured monoliths.

The slug line gives structure to the screenplay and a starting point to the director.