A pinned square is one where it is the only square where a particular number can go in a row, column or 3x3 block and is basically the full version of intersections. Pencil marks are not required to use this technique, but sometimes they make it easier to see a pinned square.
For example looking at the <5> in R1C1 and R4C4 we can see that <5> is pinned to R2C8 as this is the only square in R2 where <5> can go. Although not highlighted, <5> is also pinned to R3C6 as it is the only square in Block2 where <5> can go.
Using 'Show squares with a...' and selecting <1>, it is clear that R9C5 must be a <1>. It is the only place the <1> can go in Block8 and so <1> is pinned to R9C5.